论文标题

用摩尔相互作用能量下降进行抽样

Sampling with Mollified Interaction Energy Descent

论文作者

Li, Lingxiao, Liu, Qiang, Korba, Anna, Yurochkin, Mikhail, Solomon, Justin

论文摘要

从一个仅知道到归一化常数的目标度量的取样是计算统计和机器学习中的基本问题。在本文中,我们提出了一种新的基于优化的方法,用于采样,称为Mollified相互作用能量下降(MIED)。 MEID最大程度地减少了一类新的能量,以称为摩尔相互作用能量(MIES)的概率度量。这些能量依赖于软体动物函数 - dirac三角洲的平滑近似源自PDE理论。我们表明,随着Mollifier接近Dirac Delta,MIE相对于靶标度量和MIE的梯度流融合了卡方分歧,与卡方分歧的梯度流相符。通过适当的离散化优化该能量可产生一种实用的基于一阶粒子的算法,用于在不受约束和受约束域中进行采样。我们通过实验表明,对于不受限制的采样问题,我们的算法与现有的基于粒子的算法(如SVGD)相当,而对于受约束的采样问题,我们的方法很容易将受限的优化技术纳入与替代方案相比具有强大性能的更灵活的约束。

Sampling from a target measure whose density is only known up to a normalization constant is a fundamental problem in computational statistics and machine learning. In this paper, we present a new optimization-based method for sampling called mollified interaction energy descent (MIED). MIED minimizes a new class of energies on probability measures called mollified interaction energies (MIEs). These energies rely on mollifier functions -- smooth approximations of the Dirac delta originated from PDE theory. We show that as the mollifier approaches the Dirac delta, the MIE converges to the chi-square divergence with respect to the target measure and the gradient flow of the MIE agrees with that of the chi-square divergence. Optimizing this energy with proper discretization yields a practical first-order particle-based algorithm for sampling in both unconstrained and constrained domains. We show experimentally that for unconstrained sampling problems our algorithm performs on par with existing particle-based algorithms like SVGD, while for constrained sampling problems our method readily incorporates constrained optimization techniques to handle more flexible constraints with strong performance compared to alternatives.

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