Title: Adaptive gradient descent on Riemannian manifolds and its applications to Gaussian variational inference
Primary area: optimization
Keywords: Adaptive method, Riemannian optimization, Variational Inference

Abstract: We propose RAdaGD, a novel family of adaptive gradient descent methods on general Riemannian manifolds. RAdaGD adapts the step size parameter without line search, and includes instances that achieve a non-ergodic convergence guarantee, $f(x_k) - f(x_\star) \le \mathcal{O}(1/k)$, under local geodesic smoothness and generalized geodesic convexity. A core application of RAdaGD is Gaussian Variational Inference, where our method provides the first convergence guarantee in the absence of $L$-smoothness of the target log-density, under additional technical assumptions. We also investigate the empirical performance of RAdaGD in numerical simulations and demonstrate its competitiveness in comparison to existing algorithms.

TL;DR: We propose RAdaGD, a novel family of adaptive gradient descent methods on general Riemannian manifolds, and its applications to Gaussian variational inference.