Sayan Banerjee

Improved Finite-Particle Convergence Rates for Stein Variational Gradient Descent

We provide finite-particle convergence rates for the Stein Variational Gradient Descent (SVGD) algorithm in the Kernelized Stein Discrepancy ($\KSD$) and Wasserstein-2 metrics. Our key insight is that the time derivative of the relative entropy between the joint density of $N$ particle locations and…