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On the Convergence to a Global Solution of Shuffling-Type Gradient Algorithms Lam M. Nguyen

Neural Information Processing Systems

Stochastic gradient descent (SGD) algorithm is the method of choice in many machine learning tasks thanks to its scalability and efficiency in dealing with large-scale problems. In this paper, we focus on the shuffling version of SGD which matches the mainstream practical heuristics. We show the convergence to a global solution of shuffling SGD for a class of non-convex functions under over-parameterized settings.



Entropic Neural Optimal Transport via Diffusion Processes

Neural Information Processing Systems

We propose a novel neural algorithm for the fundamental problem of computing the entropic optimal transport (EOT) plan between continuous probability distributions which are accessible by samples. Our algorithm is based on the saddle point reformulation of the dynamic version of EOT which is known as the Schrödinger Bridge problem. In contrast to the prior methods for large-scale EOT, our algorithm is end-to-end and consists of a single learning step, has fast inference procedure, and allows handling small values of the entropy regularization coefficient which is of particular importance in some applied problems. Empirically, we show the performance of the method on several large-scale EOT tasks.




On Convergence of Polynomial Approximations to the Gaussian Mixture Entropy

Neural Information Processing Systems

Gaussian mixture models (GMMs) are fundamental to machine learning due to their flexibility as approximating densities. However, uncertainty quantification of GMMs remains a challenge as differential entropy lacks a closed form.