Continuous-time Riemannian SGD and SVRG Flows on Wasserstein Probabilistic Space
Mingyang Yi, Bohan Wang
Recently, optimization on the Riemannian manifold has provided new insights to the optimization community. In this regard, the manifold taken as the probability measure metric space equipped with the second-order Wasserstein distance is of particular interest, since optimization on it can be linked to practical sampling processes. In general, the standard (continuous) optimization method on Wasserstein space is Riemannian gradient flow (i.e., Langevin dynamics when minimizing KL divergence). In this paper, we aim to enrich the continuous optimization methods in the Wasserstein space, by extending the gradient flow on it into the stochastic gradient descent (SGD) flow and stochastic variance reduction gradient (SVRG) flow. The two flows in Euclidean space are standard continuous stochastic methods, while their Riemannian counterparts are unexplored. By leveraging the property of Wasserstein space, we construct stochastic differential equations (SDEs) to approximate the corresponding discrete dynamics of desired Riemannian stochastic methods in Euclidean space. Then, our probability measures flows are obtained by the Fokker-Planck equation. Finally, the convergence rates of our Riemannian stochastic flows are proven, which match the results in Euclidean space.