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arXiv · 1905.12667

Structured Monte Carlo Sampling for Nonisotropic Distributions via Determinantal Point Processes

Krzysztof Choromanski·Aldo Pacchiano·Jack Parker-Holder·Yunhao Tang
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Abstract

We propose a new class of structured methods for Monte Carlo (MC) sampling, called DPPMC, designed for high-dimensional nonisotropic distributions where samples are correlated to reduce the variance of the estimator via determinantal point processes. We successfully apply DPPMCs to problems involving nonisotropic distributions arising in guided evolution strategy (GES) methods for RL, CMA-ES techniques and trust region algorithms for blackbox optimization, improving state-of-the-art in all these settings. In particular, we show that DPPMCs drastically improve exploration profiles of the existing evolution strategy algorithms. We further confirm our results, analyzing random feature map estimators for Gaussian mixture kernels. We provide theoretical justification of our empirical results, showing a connection between DPPMCs and structured orthogonal MC methods for isotropic distributions.

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Krzysztof Choromanski, Aldo Pacchiano, Jack Parker-Holder, Yunhao Tang. 2019-05-29. Structured Monte Carlo Sampling for Nonisotropic Distributions via Determinantal Point Processes. https://arxiv.org/abs/1905.12667

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