Convergence of mean-field Langevin dynamics: time-space discretization, stochastic gradient, and variance reduction
Main Conference Track
Authors: Taiji Suzuki, Denny Wu, Atsushi Nitanda

The mean-field Langevin dynamics (MFLD) is a nonlinear generalization of the Langevin dynamics that incorporates a distribution-dependent drift, and it naturally arises from the optimization of two-layer neural networks via (noisy) gradient descent. Recent works have shown that MFLD globally minimizes an entropy-regularized convex functional in the space of measures. However, all prior analyses assumed the infinite-particle or continuous-time limit, and cannot handle stochastic gradient updates. We provide a general framework to prove a uniform-in-time propagation of chaos for MFLD that takes into account the errors due to finite-particle approximation, time-discretization, and stochastic gradient. To demonstrate the wide applicability of our framework, we establish quantitative convergence rate guarantees to the regularized global optimal solution for $(i)$ a wide range of learning problems such as mean-field neural network and MMD minimization, and $(ii)$ different gradient estimators including SGD and SVRG. Despite the generality of our results, we achieve an improved convergence rate in both the SGD and SVRG settings when specialized to the standard Langevin dynamics.