Efficient Learning of Stationary Diffusions with Stein-type Discrepancies

Learning a stationary diffusion amounts to estimating the parameters of a stochastic differential equation whose stationary distribution matches a target distribution. We build on the recently introduced kernel deviation from stationarity (KDS), which enforces stationarity by evaluating expectations of the diffusion’s generator in a reproducing kernel Hilbert space. Leveraging the connection between KDS and Stein discrepancies, we introduce the Stein-type KDS (SKDS) as an alternative formulation. We prove that a vanishing SKDS guarantees alignment of the learned diffusion’s stationary distribution with the target. Furthermore, under broad parametrizations, SKDS is convex with an empirical version that is $ε$-quasiconvex with high probability. Empirically, learning with SKDS attains comparable accuracy to KDS while substantially reducing computational cost and yields improvements over the majority of competitive baselines.

💡 Research Summary

The paper tackles the problem of learning the parameters of a stochastic differential equation (SDE) such that its stationary distribution coincides with a given target distribution μ. Existing work introduced the Kernel Deviation from Stationarity (KDS), which evaluates the martingale condition Eμ