Solving statistical learning problems often involves nonconvex optimization. Despite the empirical success of nonconvex statistical optimization methods, their global dynamics, especially convergence to the desirable local minima, remain less well understood in theory. In this paper, we propose a new analytic paradigm based on diffusion processes to characterize the global dynamics of nonconvex statistical optimization. As a concrete example, we study stochastic gradient descent (SGD) for the tensor decomposition formulation of independent component analysis. In particular, we cast different phases of SGD into diffusion processes, i.e., solutions to stochastic differential equations. Initialized from an unstable equilibrium, the global dynamics of SGD transit over three consecutive phases: (i) an unstable Ornstein-Uhlenbeck process slowly departing from the initialization, (ii) the solution to an ordinary differential equation, which quickly evolves towards the desirable local minimum, and (iii) a stable Ornstein-Uhlenbeck process oscillating around the desirable local minimum. Our proof techniques are based upon Stroock and Varadhan's weak convergence of Markov chains to diffusion processes, which are of independent interest.

本文借助扩散过程的分析范式，探索非凸统计优化的全局动态特性，以随机梯度下降 (SGD) 法求解独立成分分析的张量分解为例，将SGD的不同阶段转化为不同的扩散过程并进行分析。研究结果对于理解 Markov 链收敛到扩散过程的弱收敛也具有独立的意义。

在线独立成分分析:通过扩散过程理解非凸优化的全局动态