Poster
NEO: Non Equilibrium Sampling on the Orbits of a Deterministic Transform
Achille Thin · Yazid Janati El Idrissi · Sylvain Le Corff · Charles Ollion · Eric Moulines · Arnaud Doucet · Alain Durmus · Christian X Robert
Virtual
Keywords: [ Generative Model ]
Abstract:
Sampling from a complex distribution and approximating its intractable normalizing constant are challenging problems. In this paper, a novel family of importance samplers (IS) and Markov chain Monte Carlo (MCMC) samplers is derived. Given an invertible map , these schemes combine (with weights) elements from the forward and backward Orbits through points sampled from a proposal distribution . The map does not leave the target invariant, hence the name NEO, standing for Non-Equilibrium Orbits. NEO-IS provides unbiased estimators of the normalizing constant and self-normalized IS estimators of expectations under while NEO-MCMC combines multiple NEO-IS estimates of the normalizing constant and an iterated sampling-importance resampling mechanism to sample from . For chosen as a discrete-time integrator of a conformal Hamiltonian system, NEO-IS achieves state-of-the art performance on difficult benchmarks and NEO-MCMC is able to explore highly multimodal targets. Additionally, we provide detailed theoretical results for both methods. In particular, we show that NEO-MCMC is uniformly geometrically ergodic and establish explicit mixing time estimates under mild conditions.
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