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Anna Korba (ENSAE/CREST)
Date & Time
Tue, 28 March 2023, 13:30 to 14:20
Online Seminar

Sampling from a target measure whose density is only known up to a normalization constant is a fundamental problem in computational statistics and machine learning. In this talk, I will present a new optimization-based method for sampling called mollified interaction energy descent (MIED). MIED minimizes a new class of energies on probability measures called mollified interaction energies (MIEs). These energies rely on mollifier functions—smooth approximations of the Dirac delta originated from PDE theory. We show that as the mollifier approaches the Dirac delta, the MIE converges to the chi-square divergence with respect to the target measure and the gradient flow of the MIE agrees with that of the chi-square divergence. Optimizing this energy with proper discretization yields a practical first-order particle-based algorithm for sampling in both unconstrained and constrained domains. We show experimentally that for unconstrained sampling problems our algorithm performs on par with existing particle-based algorithms like Stein Variational Gradient Descent (SVGD), while for constrained sampling problems our method readily incorporates constrained optimization techniques to handle more flexible constraints with strong performance compared to alternatives.

Zoom link:
Meeting ID: 813 7929 0349