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Continual Repeated Annealed Flow Transport Monte Carlo
Alexander Matthews · Michael Arbel · Danilo J. Rezende · Arnaud Doucet

Tue Jul 19 02:20 PM -- 02:25 PM (PDT) @ Room 307
in PM: Monte Carlo and Sampling Methods »

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.

Keywords: APP: Physics · PM: Monte Carlo and Sampling Methods

Author Information

Alexander Matthews (DeepMind)
Michael Arbel (Inria Grenoble Rhône Alpes)
Danilo J. Rezende (DeepMind)
Danilo J. Rezende

Danilo is a Senior Staff Research Scientist at Google DeepMind, where he works on probabilistic machine reasoning and learning algorithms. He has a BA in Physics and MSc in Theoretical Physics from Ecole Polytechnique (Palaiseau – France) and from the Institute of Theoretical Physics (SP – Brazil) and a Ph.D. in Computational Neuroscience at Ecole Polytechnique Federale de Lausanne, EPFL (Lausanne – Switzerland). His research focuses on scalable inference methods, generative models of complex data (such as images and video), applied probability, causal reasoning and unsupervised learning for decision-making.

Arnaud Doucet (Google DeepMind)

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