Normalizing flow sampling with Langevin dynamics in the latent space

• URL: http://arxiv.org/abs/2305.12149v1
• Date: Sat, 20 May 2023 09:31:35 GMT
• Title: Normalizing flow sampling with Langevin dynamics in the latent space
• Authors: Florentin Coeurdoux and Nicolas Dobigeon and Pierre Chainais
• Abstract summary: Normalizing flows (NF) use a continuous generator to map a simple latent (e.g. Gaussian) distribution, towards an empirical target distribution associated with a training data set. Since standard NF implement differentiable maps, they may suffer from pathological behaviors when targeting complex distributions. This paper proposes a new Markov chain Monte Carlo algorithm to sample from the target distribution in the latent domain before transporting it back to the target domain.
• Score: 12.91637880428221
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Normalizing flows (NF) use a continuous generator to map a simple latent (e.g. Gaussian) distribution, towards an empirical target distribution associated with a training data set. Once trained by minimizing a variational objective, the learnt map provides an approximate generative model of the target distribution. Since standard NF implement differentiable maps, they may suffer from pathological behaviors when targeting complex distributions. For instance, such problems may appear for distributions on multi-component topologies or characterized by multiple modes with high probability regions separated by very unlikely areas. A typical symptom is the explosion of the Jacobian norm of the transformation in very low probability areas. This paper proposes to overcome this issue thanks to a new Markov chain Monte Carlo algorithm to sample from the target distribution in the latent domain before transporting it back to the target domain. The approach relies on a Metropolis adjusted Langevin algorithm (MALA) whose dynamics explicitly exploits the Jacobian of the transformation. Contrary to alternative approaches, the proposed strategy preserves the tractability of the likelihood and it does not require a specific training. Notably, it can be straightforwardly used with any pre-trained NF network, regardless of the architecture. Experiments conducted on synthetic and high-dimensional real data sets illustrate the efficiency of the method.

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