We derive first-order (in the stepsize) bounds on the bias in Wasserstein distances of the invariant measure of stochastic gradient kinetic Langevin dynamics with minimal assumptions on the stochastic gradient noise. These bounds sharpen existing non-asymptotic guarantees for stochastic-gradient MCMC methods and provide a quantitative resolution of a previously open problem on invariant measure accuracy. The main technical ingredients are new Gaussian convolution inequalities controlling the Wasserstein-$p$ distance between a Gaussian convolved with a mean-zero perturbation and the Gaussian itself. We anticipate that these inequalities will be of independent interest beyond the present application. To complement the theory, we illustrate the benefits of stochastic gradient sampling methods on a one-dimensional model, a Bayesian logistic regression example and a Bayesian random-effect model including comparison with pseudo-marginal MCMC methods.

翻译：暂无翻译