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arXiv · 2312.03857

Population Monte Carlo with Normalizing Flow

Soumyasundar Pal·Antonios Valkanas·Mark Coates
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Abstract

Adaptive importance sampling (AIS) methods provide a useful alternative to Markov Chain Monte Carlo (MCMC) algorithms for performing inference of intractable distributions. Population Monte Carlo (PMC) algorithms constitute a family of AIS approaches which adapt the proposal distributions iteratively to improve the approximation of the target distribution. Recent work in this area primarily focuses on ameliorating the proposal adaptation procedure for high-dimensional applications. However, most of the AIS algorithms use simple proposal distributions for sampling, which might be inadequate in exploring target distributions with intricate geometries. In this work, we construct expressive proposal distributions in the AIS framework using normalizing flow, an appealing approach for modeling complex distributions. We use an iterative parameter update rule to enhance the approximation of the target distribution. Numerical experiments show that in high-dimensional settings, the proposed algorithm offers significantly improved performance compared to the existing techniques.

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Soumyasundar Pal, Antonios Valkanas, Mark Coates. 2023-12-06. Population Monte Carlo with Normalizing Flow. https://arxiv.org/abs/2312.03857

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