Title: The Connections Between Discrete Geometric Mechanics, Information Geometry, Accelerated Optimization and Machine Learning
Abstract: Geometric mechanics describes Lagrangian and Hamiltonian mechanics geometrically, and information geometry formulates statistical estimation, inference, and machine learning in terms of geometry. A divergence function is an asymmetric distance between two probability densities that induces differential geometric structures and yields efficient machine learning algorithms that minimize the duality gap. The connection between information geometry and geometric mechanics will yield a unified treatment of machine learning and structure-preserving discretizations. In particular, the divergence function of information geometry can be viewed as a discrete Lagrangian, which is a generating function of a symplectic map, that arise in discrete variational mechanics. This identification allows the methods of backward error analysis to be applied, and the symplectic map generated by a divergence function can be associated with the exact time-h flow map of a Hamiltonian system on the space of probability distributions. We will also discuss how time-adaptive Hamiltonian variational integrators can be used to discretize the Bregman Hamiltonian, whose flow generalizes the differential equation that describes the dynamics of the Nesterov accelerated gradient descent method.
Biography: Melvin Leok is professor of mathematics at the University of California, San Diego. His research interests are in computational geometric mechanics, computational geometric control theory, discrete differential geometry, and structure-preserving numerical schemes, and particularly how these subjects relate to systems with symmetry. He received his Ph.D. in 2004 from the California Institute of Technology in Control and Dynamical Systems under the direction of Jerrold Marsden. He is a Simons Fellow in Mathematics, three-time NAS Kavli Frontiers of Science Fellow, and has received the DoD Newton Award for Transformative Ideas, the NSF Faculty Early Career Development (CAREER) award, the SciCADE New Talent Prize, the SIAM Student Paper Prize, and the Leslie Fox Prize (second prize) in Numerical Analysis. He has given plenary talks at Foundations of Computational Mathematics, NUMDIFF, and the IFAC Workshop on Lagrangian and Hamiltonian Methods for Nonlinear Control, and is the coauthor of a research monograph entitled, “Global Formulations of Lagrangian and Hamiltonian Dynamics on Manifolds.”