A Non-Asymptotic Analysis for Stein Variational Gradient Descent

In this paper, we provide a novel finite time analysis for the SVGD algorithm. We provide a descent lemma establishing that the algorithm decreases the objective at each iteration, and rates of convergence for the averaged Stein Fisher divergence (also referred to as Kernel Stein Discrepancy). We also provide a convergence result of the finite particle system corresponding to the practical implementation of SVGD to its population version.