针对概率分布优化提出随机坐标下降法,显著提升高维问题求解速度。
Random Coordinate Descent on the Wasserstein Space of Probability Measures
- 基于Wasserstein流形设计随机坐标下降框架,利用坐标结构适应复杂景观。
- 在非凸、PL及测地凸条件下均证明收敛性,理论表现媲美欧氏空间。
- 适合处理高维、病态条件下的概率分布优化,尤其适用于生成模型与均场建模。
在Wasserstein-2几何下对概率测度空间进行优化是现代机器学习与均场建模的核心问题。然而,传统依赖全Wasserstein梯度的方法在高维或病态情形下常面临高昂计算开销。本文提出专为Wasserstein流形设计的随机坐标下降框架,引入随机Wasserstein坐标下降(RWCD)与随机Wasserstein坐标近端梯度(RWCP),适用于复合目标函数。通过利用坐标结构,方法能适应各向异性目标景观,克服全梯度方法的局限。我们在多种景观几何下提供严格收敛分析,建立了非凸、Polyak-Łojasiewicz及测地凸条件下的收敛保证。理论结果揭示了向量空间与概率测度空间上坐标下降的深刻对称性。所提技术天然适配Wasserstein几何,为测度空间中的其他优化求解器提供稳健分析模板。数值实验表明,在病态能量函数上,本框架相比传统全梯度方法实现显著加速。
原文摘要 · Abstract (English)
Optimization over the space of probability measures endowed with the Wasserstein-2 geometry is central to modern machine learning and mean-field modeling. However, traditional methods relying on full Wasserstein gradients often suffer from high computational overhead in high-dimensional or ill-conditioned settings. We propose a randomized coordinate descent framework specifically designed for the Wasserstein manifold, introducing both Random Wasserstein Coordinate Descent (RWCD) and Random Wasserstein Coordinate Proximal{-Gradient} (RWCP) for composite objectives. By exploiting coordinate-wise structures, our methods adapt to anisotropic objective landscapes where full-gradient approaches typically struggle. We provide a rigorous convergence analysis across various landscape geometries, establishing guarantees under non-convex, Polyak-Łojasiewicz, and geodesically convex conditions. Our theoretical results mirror the classic convergence properties found in Euclidean space, revealing a compelling symmetry between coordinate descent on vectors and on probability measures. The developed techniques are inherently adaptive to the Wasserstein geometry and offer a robust analytical template that can be extended to other optimization solvers within the space of measures. Numerical experiments on ill-conditioned energies demonstrate that our framework offers significant speedups over conventional full-gradient methods.
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