Zhou Fan (Yale), Dynamical mean-field analysis of adaptive Langevin diffusions

In many applications of statistical estimation via sampling, one may wish to sample from a high-dimensional target distribution that is adaptively evolving to the samples already seen. We study an example of such dynamics, given by a Langevin diffusion for posterior sampling in a Bayesian linear regression model with i.i.d. regression design, whose prior continuously adapts to the Langevin trajectory via a maximum marginal-likelihood scheme. Using techniques of dynamical mean-field theory (DMFT), we provide a precise characterization of a high-dimensional asymptotic limit for the joint evolution of the prior parameter and law of the Langevin sample. We then carry out an analysis of the equations that describe this DMFT limit, under conditions of approximate time-translation-invariance which include, in particular, settings where the posterior law satisfies a log-Sobolev inequality. In such settings, we show that this adaptive Langevin trajectory converges on a dimension-independent time horizon to an equilibrium state that is characterized by a system of replica-symmetric fixed-point equations, and the associated prior parameter converges to a critical point of a replica-symmetric limit for the model free energy. We explore the nature of the free energy landscape and its critical points in a few simple examples, where such critical points may or may not be unique.

This is joint work with Justin Ko, Bruno Loureiro, Yue M. Lu, and Yandi Shen.