Convergence Acceleration of Markov Chain Monte Carlo-based Gradient Descent by Deep Unfolding
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Abstract (arXiv)
This study proposes a trainable sampling-based solver for combinatorial optimization problems (COPs) using a deep-learning technique called deep unfolding. The proposed solver is based on the Ohzeki method that combines Markov-chain Monte-Carlo (MCMC) and gradient descent, and its step sizes are trained by minimizing a loss function. In the training process, we propose a sampling-based gradient estimation that substitutes auto-differentiation with a variance estimation, thereby circumventing the failure of back propagation due to the non-differentiability of MCMC. The numerical results for a few COPs demonstrated that the proposed solver significantly accelerated the convergence speed compared with the original Ohzeki method.
Key facts. Cited by 1 paper in the map (data through 7 Oct 2026). Builds on 0 of its 8 references that are in the map. First posted on arXiv 21 Feb 2024.
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