Variational inference via Gaussian interacting particles in the Bures-Wasserstein geometry

Abstract

Motivated by variational inference methods, we propose a zeroth-order algorithm for solving optimization problems in the space of Gaussian probability measures. The algorithm is based on an interacting system of Gaussian particles that stochastically explore the search space and self-organize around global minima via a consensus-based optimization (CBO) mechanism. Its construction relies on the Linearized Bures–Wasserstein (LBW) space, a novel parametrization of Gaussian measures we introduce for efficient computations. We establish well-posedness and study the convergence properties of the particle dynamics via a mean-field approximation. Numerical experiments on variational inference tasks demonstrate the algorithm’s robustness and superior performance with respect to gradient-based method in presence of non log-concave targets.