Accelerated Information Gradient flow

09/04/2019

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by   Yifei Wang, et al.

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We present a systematic framework for the Nesterov's accelerated gradient flows in the spaces of probabilities embedded with information metrics. Here two metrics are considered, including both the Fisher-Rao metric and the Wasserstein-2 metric. For the Wasserstein-2 metric case, we prove the convergence properties of the accelerated gradient flows, and introduce their formulations in Gaussian families. Furthermore, we propose a practical discrete-time algorithm in particle implementations with an adaptive restart technique. We formulate a novel bandwidth selection method, which learns the Wasserstein-2 gradient direction from Brownian-motion samples. Experimental results including Bayesian inference show the strength of the current method compared with the state-of-the-art.