Stein variational gradient descent (SVGD) is a deterministic sampling algorithm that iteratively transports a set of particles to approximate given distributions, based on a gradient-based update constructed to optimally decrease the KL divergence within a function space. This paper develops the first theoretical analysis on SVGD. We establish that the empirical measures of the SVGD samples weakly converge to the target distribution, and show that the asymptotic behavior of SVGD is characterized by a nonlinear Fokker-Planck equation known as Vlasov equation in physics. We develop a geometric perspective that views SVGD as a gradient flow of the KL divergence functional under a new metric structure on the space of distributions induced by Stein operator.

Stein variational gradient descent (SVGD) is a non-parametric inference algorithm that evolves a set of particles to fit a given distribution of interest. We analyze the non-asymptotic properties of SVGD, showing that there exists a set of functions, which we call the Stein matching set, whose expectations are exactly estimated by any set of particles that satisfies the fixed point equation of SVGD. This set is the image of Stein operator applied on the feature maps of the positive definite kernel used in SVGD. Our results provide a theoretical framework for analyzing the properties of SVGD with different kernels, shedding insight into optimal kernel choice. In particular, we show that SVGD with linear kernels yields exact estimation of means and variances on Gaussian distributions, while random Fourier features enable probabilistic bounds for distributional approximation. Our results offer a refreshing view of the classical inference problem as fitting Stein's identity or solving the Stein equation, which may motivate more efficient algorithms.

Stein V ariational Gradient Descent (SVGD) is a nonparametric particle-based deterministic sampling algorithm.

Although the population (i.e, infinite-particle) limit dynamics of SVGD is well characterized, its behavior in the finite-particle regime is far less understood.

See Liu & Wang (2016, 2018); Liu (2017) formoredetails.

One of the core problems of modern statistics and machine learning is to approximate difficultto-compute probability distributions.

Neural transport augmented sampling, firstintroduced byParnoandMarzouk (2018),isageneral method for using normalizing flows to sample from a given densityπ. Thus, samples can be generated fromπ(θ)by running MCMC chain in theZ-space and pushing these samples onto theΘ-space usingT. Neural transport augmented samplers havebeen subsequently extended by Hoffman etal. In this paper, we proposed equivariant Stein variational gradient descent algorithm for sampling fromdensities thatareinvarianttosymmetry transformations. Another contributionofourworkis subsequently using this equivariant sampling method to efficiently train equivariant energy based models forprobabilistic modeling andinference.