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Transport Elliptical Slice Sampling

Research output: Contribution to Journal/MagazineConference articlepeer-review

Published
<mark>Journal publication date</mark>25/04/2023
<mark>Journal</mark>Proceedings of Machine Learning Research
Volume206
Number of pages13
Pages (from-to)3664-3676
Publication StatusPublished
<mark>Original language</mark>English
Event26th International Conference on Artificial Intelligence and Statistics, AISTATS 2023 - Valencia, Spain
Duration: 25/04/202327/04/2023

Conference

Conference26th International Conference on Artificial Intelligence and Statistics, AISTATS 2023
Country/TerritorySpain
CityValencia
Period25/04/2327/04/23

Abstract

We propose a new framework for efficiently sampling from complex probability distributions using a combination of normalizing flows and elliptical slice sampling (Murray et al., 2010). The central idea is to learn a diffeomorphism, through normalizing flows, that maps the non-Gaussian structure of the target distribution to an approximately Gaussian distribution. We then use the elliptical slice sampler, an efficient and tuning-free Markov chain Monte Carlo (MCMC) algorithm, to sample from the transformed distribution. The samples are then pulled back using the inverse normalizing flow, yielding samples that approximate the stationary target distribution of interest. Our transport elliptical slice sampler (TESS) is optimized for modern computer architectures, where its adaptation mechanism utilizes parallel cores to rapidly run multiple Markov chains for a few iterations. Numerical demonstrations show that TESS produces Monte Carlo samples from the target distribution with lower autocorrelation compared to non-transformed samplers, and demonstrates significant improvements in efficiency when compared to gradient-based proposals designed for parallel computer architectures, given a flexible enough diffeomorphism.