Non-asymptotic convergence analysis of the stochastic gradient Hamiltonian Monte Carlo algorithm with discontinuous stochastic gradient with applications to training of ReLU neural networks

Luxu Liang, Ariel Neufeld, Ying Zhang

In this paper, we provide a non-asymptotic analysis of the convergence of the stochastic gradient Hamiltonian Monte Carlo (SGHMC) algorithm to a target measure in Wasserstein-1 and…