Nesterov acceleration in optimizing over probability measures

Abstract:Optimization over probability measures has become an increasingly important paradigm in modern machine learning, scientific computing, and uncertainty quantification. Motivated by Nesterov's accelerated gradient method in Euclidean space, we develop Heavy-ball and Nesterov acceleration methods over the probability measure space $\mathcal{P}_2$ and establish non-asymptotic convergence guarantees that match their Euclidean counterparts. In particular, we derive convergence rates with respect to both the number of iterations and the number of particles used to represent the underlying probability distributions. Extending accelerated optimization from Euclidean space to probability measures is challenging. The natural notion of momentum requires concepts such as tangent bundles of the set of probability space and they are hard to operate numerically. To overcome these difficulties, we introduce two complementary lifting procedures. The first lifts probability measures to phase space through a Hamiltonian formulation, introducing momentum variables into the dynamics. The second lifts probability measures to a common Hilbert space, restoring the linear structure required for convergence analysis while simultaneously yielding executable particle dynamics. Together, these two complementary lifting procedures provide a systematic methodology for designing, analyzing, and implementing momentum-based accelerated optimization methods over probability measure spaces.

Optimization and Control (math.OC); Machine Learning (cs.LG)

arXiv:2607.23008 [math.OC]

(or arXiv:2607.23008v1 [math.OC] for this version)

https://doi.org/10.48550/arXiv.2607.23008 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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