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Stochastic Particle Gradient Descent for Infinite Ensembles

The superior performance of ensemble methods with infinite models are well known. Most of these methods are based on optimization problems in infinite-dimensional spaces with some regularization, for instance, boosting methods and convex neural networks use $L^1$-regularization with the non-negative constraint. However, due to the difficulty of handling $L^1$-regularization, these problems require early stopping or a rough approximation to solve it inexactly. In this paper, we propose a new ensemble learning method that performs in a space of probability measures, that is, our method can handle the $L^1$-constraint and the non-negative constraint in a rigorous way. Such an optimization is realized by proposing a general purpose stochastic optimization method for learning probability measures via parameterization using transport maps on base models. As a result of running the method, a transport map to output an infinite ensemble is obtained, which forms a residual-type network. From the perspective of functional gradient methods, we give a convergence rate as fast as that of a stochastic optimization method for finite dimensional nonconvex problems. Moreover, we show an interior optimality property of a local optimality condition used in our analysis.

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