We consider the constrained sampling problem where the goal is to sample from a target distribution $\pi(x)\propto e^{-f(x)}$ when $x$ is constrained to lie on a convex body $C\subset \mathbb{R}^d$. Motivated by penalty methods from continuous optimization, we propose and study penalized Langevin Dynamics (PLD) and penalized underdamped Langevin Monte Carlo (PULMC) methods for constrained sampling that convert the constrained sampling problem into an unconstrained sampling problem by introducing a penalty function for constraint violations. When $f$ is smooth and gradients of $f$ are available, we show ${\tilde{O}}(d/\varepsilon^{10})$ iteration complexity for PLD to sample the target up to an $\varepsilon$-error where the error is measured in terms of the total variation distance and $\tilde{O}(\cdot)$ hides some logarithmic factors. For PULMC, we improve this result to $\tilde{O}(\sqrt{d}/\varepsilon^{7})$ when the Hessian of $f$ is Lipschitz and the boundary of $C$ is sufficiently smooth. To our knowledge, these are the first convergence rate results for underdamped Langevin Monte Carlo methods in the constrained sampling setting that can handle non-convex choices of $f$ and can provide guarantees with the best dimension dependency among existing methods for constrained sampling when the gradients are deterministically available. We then consider the setting where only unbiased stochastic estimates of the gradients of $f$ are available, motivated by applications to large-scale Bayesian learning problems. We propose PSGLD and PSGULMC methods that are variants of PLD and PULMC that can handle stochastic gradients and that are scaleable to large datasets without requiring Metropolis-Hasting correction steps. For PSGLD and PSGULMC, when $f$ is strongly convex and smooth, we obtain an iteration complexity of $\tilde{O}(d/\varepsilon^{18})$ and $\tilde{O}(d\sqrt{d}/\varepsilon^{39})$ respectively in the 2-Wasserstein distance. For the more general case, when $f$ is smooth and $f$ can be non-convex, we also provide finite-time performance bounds and iteration complexity results. Finally, we illustrate the performance of our algorithms on Bayesian LASSO regression and Bayesian constrained deep learning problems.

A traditional approach to initialization in deep neural networks (DNNs) is to sample the network weights randomly for preserving the variance of pre-activations. On the other hand, several studies show that during the training process, the distribution of stochastic gradients can be heavy-tailed especially for small batch sizes. In this case, weights and therefore pre-activations can be modeled with a heavy-tailed distribution that has an infinite variance but has a finite (non-integer) fractional moment of order $s$ with $s < 2$. Motivated by this fact, we develop initialization schemes for fully connected feed-forward networks that can provably preserve any given moment of order $s\in (0,2]$ over the layers for a class of activations including ReLU, Leaky ReLU, Randomized Leaky ReLU, and linear activations. These generalized schemes recover traditional initialization schemes in the limit $s \to 2$ and serve as part of a principled theory for initialization. For all these schemes, we show that the network output admits a finite almost sure limit as the number of layers grows, and the limit is heavy-tailed in some settings. This sheds further light into the origins of heavy tail during signal propagation in DNNs. We also prove that the logarithm of the norm of the network outputs, if properly scaled, will converge to a Gaussian distribution with an explicit mean and variance we can compute depending on the activation used, the value of $s$ chosen and the network width, where log-normality serves as a further justification of why the norm of the network output can be heavy-tailed in DNNs. We also prove that our initialization scheme avoids small network output values more frequently compared to traditional approaches. Our results extend if dropout is used and the proposed initialization strategy does not have an extra cost during the training procedure. We show through numerical experiments that our initialization can improve the training and test performance.

Stochastic gradient Langevin dynamics (SGLD) and stochastic gradient Hamiltonian Monte Carlo (SGHMC) are two popular Markov Chain Monte Carlo (MCMC) algorithms for Bayesian inference that can scale to large datasets, allowing to sample from the posterior distribution of the parameters of a statistical model given the input data and the prior distribution over the model parameters. However, these algorithms do not apply to the decentralized learning setting, when a network of agents are working collaboratively to learn the parameters of a statistical model without sharing their individual data due to privacy reasons or communication constraints. We study two algorithms: Decentralized SGLD (DE-SGLD) and Decentralized SGHMC (DE-SGHMC) which are adaptations of SGLD and SGHMC methods that allow scaleable Bayesian inference in the decentralized setting for large datasets. We show that when the posterior distribution is strongly log-concave and smooth, the iterates of these algorithms converge linearly to a neighborhood of the target distribution in the 2-Wasserstein distance if their parameters are selected appropriately. We illustrate the efficiency of our algorithms on decentralized Bayesian linear regression and Bayesian logistic regression problems.