Continual Repeated Annealed Flow Transport Monte Carlo

• URL: http://arxiv.org/abs/2201.13117v3
• Date: Thu, 6 Apr 2023 14:26:39 GMT
• Title: Continual Repeated Annealed Flow Transport Monte Carlo
• Authors: Alexander G. D. G. Matthews, Michael Arbel, Danilo J. Rezende, Arnaud Doucet
• Abstract summary: We propose Continual Repeated Annealed Flow Transport Monte Carlo (CRAFT) It combines a sequential Monte Carlo sampler with variational inference using normalizing flows. We show that CRAFT can achieve impressively accurate results on a lattice field example.
• Score: 93.98285297760671
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We propose Continual Repeated Annealed Flow Transport Monte Carlo (CRAFT), a method that combines a sequential Monte Carlo (SMC) sampler (itself a generalization of Annealed Importance Sampling) with variational inference using normalizing flows. The normalizing flows are directly trained to transport between annealing temperatures using a KL divergence for each transition. This optimization objective is itself estimated using the normalizing flow/SMC approximation. We show conceptually and using multiple empirical examples that CRAFT improves on Annealed Flow Transport Monte Carlo (Arbel et al., 2021), on which it builds and also on Markov chain Monte Carlo (MCMC) based Stochastic Normalizing Flows (Wu et al., 2020). By incorporating CRAFT within particle MCMC, we show that such learnt samplers can achieve impressively accurate results on a challenging lattice field theory example.

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