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Revisiting the Effects of Stochasticity for Hamiltonian Samplers

Giulio Franzese · Dimitrios Milios · Maurizio Filippone · Pietro Michiardi


Keywords: [ PM: Bayesian Models and Methods ] [ PM: Monte Carlo and Sampling Methods ]

Abstract: We revisit the theoretical properties of Hamiltonian stochastic differential equations (SDES) for Bayesian posterior sampling, and we study the two types of errors that arise from numerical SDE simulation: the discretization error and the error due to noisy gradient estimates in the context of data subsampling. Our main result is a novel analysis for the effect of mini-batches through the lens of differential operator splitting, revising previous literature results. The stochastic component of a Hamiltonian SDE is decoupled from the gradient noise, for which we make no normality assumptions.This leads to the identification of a convergence bottleneck: when considering mini-batches, the best achievable error rate is $\mathcal{O}(\eta^2)$, with $\eta$ being the integrator step size.Our theoretical results are supported by an empirical study on a variety of regression and classification tasks for Bayesian neural networks.

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