Now this is one of the more interesting things I've come across.

I fiddled around with the code a bit and was able to reproduce the phenomenon with DIMS = 1, making visualisation possible:

Behold!

Here's the code I used to make the plot:

import torch
import numpy as np
import matplotlib.pyplot as plt
from mpl_toolkits import mplot3d

DIMS = 1   # number of dimensions that xn has
WSUM = 5    # number of waves added together to make a splotch
EPSILON = 0.10 # rate at which xn controlls splotch strength
TRAIN_TIME = 5000 # number of iterations to train for
LEARN_RATE = 0.2   # learning rate
MESH_DENSITY = 100 #number of points ot plt in 3d mesh (if applicable)

torch.random.manual_seed(1729)

# knlist and k0list are integers, so the splotch functions are periodic
knlist = torch.randint(-2, 3, (DIMS, WSUM, DIMS)) # wavenumbers : list (controlling dim, wave id, k component)
k0list = torch.randint(-2, 3, (DIMS, WSUM))       # the x0 component of wavenumber : list (controlling dim, wave id)
slist = torch.randn((DIMS, WSUM))                # sin coefficients for a particular wave : list(controlling dim, wave id)
clist = torch.randn((DIMS, WSUM))                # cos coefficients for a particular wave : list (controlling dim, wave id)

# initialize x0, xn
x0 = torch.zeros(1, requires_grad=True)
xn = torch.zeros(DIMS, requires_grad=True)

# numpy arrays for plotting:
x0_hist = np.zeros((TRAIN_TIME,))
xn_hist = np.zeros((TRAIN_TIME, DIMS))
loss_hist = np.zeros(TRAIN_TIME,)


def model(xn,x0):
    wavesum = torch.sum(knlist*xn, dim=2) + k0list*x0
    splotch_n = torch.sum(
            (slist*torch.sin(wavesum)) + (clist*torch.cos(wavesum)),
            dim=1)
    foreground_loss = EPSILON * torch.sum(xn * splotch_n)
    return foreground_loss - x0

# train:
for t in range(TRAIN_TIME):

    print(t)
    loss = model(xn,x0)
    loss.backward()
    with torch.no_grad():
        # constant step size gradient descent, with some noise thrown in
        vlen = torch.sqrt(x0.grad*x0.grad + torch.sum(xn.grad*xn.grad))
        x0 -= LEARN_RATE*(x0.grad/vlen + torch.randn(1)/np.sqrt(1.+DIMS))
        xn -= LEARN_RATE*(xn.grad/vlen + torch.randn(DIMS)/np.sqrt(1.+DIMS))
    x0.grad.zero_()
    xn.grad.zero_()
    x0_hist[t] = x0.detach().numpy()
    xn_hist[t] = xn.detach().numpy()
    loss_hist[t] = loss.detach().numpy()

plt.plot(x0_hist)
plt.xlabel('number of steps')
plt.ylabel('x0')
plt.show()
for d in range(DIMS):
    plt.plot(xn_hist[:,d])
plt.xlabel('number of training steps')
plt.ylabel('xn')
plt.show()

fig = plt.figure()
ax = plt.axes(projection='3d')
ax.plot3D(x0_hist,xn_hist[:,0],loss_hist)

#plot loss landscape
if DIMS == 1:
    x0_range = np.linspace(np.min(x0_hist),np.max(x0_hist),MESH_DENSITY)
    xn_range = np.linspace(np.min(xn_hist),np.max(xn_hist),MESH_DENSITY)
    x,y = np.meshgrid(x0_range,xn_range)
    z = np.zeros((MESH_DENSITY,MESH_DENSITY))
    with torch.no_grad():
        for i,x0 in enumerate(x0_range):
            for j,xn in enumerate(xn_range):
                z[j,i] = model(torch.tensor(xn),torch.tensor(x0)).numpy()
    ax.plot_surface(x,y,z,color='orange',alpha=0.3)
ax.set_title("loss")
plt.show()

This is awesome, thanks!

So, to check my understanding: You have set up a sort of artificial feedback loop, where there are N overlapping patterns of hills, and each one gets stronger the farther you travel in a particular dimension/direction. So if one or more of these patterns tends systematically to push the ball in the same direction that makes it stronger, you'll get a feedback loop. And then there is selection between patterns, in the sense that the pattern which pushes the strongest will beat the ones that push more weakly, even if both have feedback loops going.

And then the argument is, even though these feedback loops were artificial / baked in by you, in "natural" search problems there might be a similar situation... what exactly is the reason for this? I guess my confusion is in whether to expect real life problems to have this property where moving in a particular direction strengthens a particular pattern. One way I could see this happening is if the patterns are themselves pretty smart, and are able to sense which directions strengthen them at any given moment. Or it could happen if, by chance, there happens to be a direction and a pattern such that the pattern systematically pushes in that direction and the direction systematically strengthens that pattern. But how likely are these? I don't know. I guess your case is a case of the second, but it's rigged a bit, because of how you built in the systematic-strengthening effect.

Am I following, or am I misunderstanding?

Hi, thanks for sharing and experimentally trying out the theory in the previous post! Super cool.

Do you have the code for this up anywhere?

I'm also a little confused by the training procedure. Are you just instantiating a random vector and then doing GD with regards to the loss function you defined? Do the charts show the loss averaged over many random vectors (and $splotch$ function variants)?

Finally, this demon becomes so strong that the search gets stuck in a local valley and further progress stops.

I don't see why the gradient with respect to x0 ever changes, and so am confused about why it would ever stop increasing in the x0 direction. Does this have to do with using a fixed step size instead of learning rate? 

[Edit: my current thought is that it looks like there's periodic oscillation in the 3rd phase, which is probably an important part of the story; the gradient is mostly about how to point at the center of that well, which means it orbits that center, and x0 progress grinds to a crawl because it's a small fraction of the overall gradient, whereas it would continue at a regular pace if it were a constant learning rate instead, I think.]

Also, did you use any regularization? [Edit: if so, the decrease in response to x0 might actually be present in a one-dimensional version of this, suggesting it's a very different story.]