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Many important problems in contemporary machine learning involve solving highly non- convex problems in sampling, optimization, or games. The absence of convexity poses significant challenges to convergence analysis of most training algorithms, and in some cases (such as min-max games) it is not even known whether common training algorithms converge or not. In this thesis, we aim to partially bridge the gap by
Our theory has several important implications. First, we resolve a decade-old open problem in Bayesian learning via our non-convex sampling framework. Second, our algorithms for bi-affine games apply to the formidably difficult training of generative adversarial networks and robust reinforcement learning, and on both examples we demonstrate promising empirical performance. Finally, our results on min-max optimization lead to a series of negative results for state-of-the-art algorithms, suggesting that one requires fundamentally new tools to advance the theory.