Accelerated Information Gradient flow

We present a framework for Nesterov's accelerated gradient flows in probability space. Here four examples of information metrics are considered, including Fisher-Rao metric, Wasserstein-2 metric, Kalman-Wasserstein metric and Stein metric. For both Fisher-Rao and Wasserstein-2 metrics, we prove convergence properties of accelerated gradient flows. In implementations, we propose a sampling-efficient discrete-time algorithm for Wasserstein-2, Kalman-Wasserstein and Stein accelerated gradient flows with a restart technique. We also formulate a kernel bandwidth selection method, which learns the gradient of logarithm of density from Brownian-motion samples. Numerical experiments, including Bayesian logistic regression and Bayesian neural network, show the strength of the proposed methods compared with state-of-the-art algorithms.Comment: 33 page