Efficient displacement convex optimization with particle gradient descent (2302.04753v1)

Abstract: Particle gradient descent, which uses particles to represent a probability measure and performs gradient descent on particles in parallel, is widely used to optimize functions of probability measures. This paper considers particle gradient descent with a finite number of particles and establishes its theoretical guarantees to optimize functions that are \emph{displacement convex} in measures. Concretely, for Lipschitz displacement convex functions defined on probability over $\mathbb{R}^d$, we prove that $O(1/\epsilon^2)$ particles and $O(d/\epsilon^4)$ computations are sufficient to find the $\epsilon$-optimal solutions. We further provide improved complexity bounds for optimizing smooth displacement convex functions. We demonstrate the application of our results for function approximation with specific neural architectures with two-dimensional inputs.