Stationary MMD Points for Cubature

원문 초록

Approximation of a target probability distribution using a finite set of points is a problem of fundamental importance, arising in cubature, data compression, and optimisation. Several authors have proposed to select points by minimising a maximum mean discrepancy (MMD), but the non-convexity of this objective precludes global minimisation in general. Instead, we consider \emph{stationary} points of the MMD which, in contrast to points globally minimising the MMD, can be accurately computed. Our main theoretical contribution is the (perhaps surprising) result that, for integrands in the associated reproducing kernel Hilbert space, the cubature error of stationary MMD points vanishes \emph{faster} than the MMD. Motivated by this \emph{super-convergence} property, we consider discretised gradient flows as a practical strategy for computing stationary points of the MMD, presenting a refined convergence analysis that establishes a novel non-asymptotic finite-particle error bound, which may be of independent interest.