Related papers: Sampling with Mirrored Stein Operators

This paper provides a detailed investigation of using the Kullback-Leibler (KL) Divergence as a way to compare and analyse game-levels, and hence to use the measure as the objective function of an evolutionary algorithm to evolve new…

We propose a novel particle-based variational inference method designed to work with multimodal distributions. Our approach, referred to as Branched Stein Variational Gradient Descent (BSVGD), extends the classical Stein Variational…

Stein thinning is a promising algorithm proposed by (Riabiz et al., 2022) for post-processing outputs of Markov chain Monte Carlo (MCMC). The main principle is to greedily minimize the kernelized Stein discrepancy (KSD), which only requires…

The mirror descent algorithm is known to be effective in situations where it is beneficial to adapt the mirror map to the underlying geometry of the optimization model. However, the effect of mirror maps on the geometry of distributed…

This paper explores a new framework for reinforcement learning based on online convex optimization, in particular mirror descent and related algorithms. Mirror descent can be viewed as an enhanced gradient method, particularly suited to…

Distributional comparison is a fundamental problem in statistical data analysis with numerous applications in a variety of scientific and engineering fields. Numerous methods exist for distributional comparison but kernel Stein's method has…

We propose an algorithm to estimate the path-gradient of both the reverse and forward Kullback-Leibler divergence for an arbitrary manifestly invertible normalizing flow. The resulting path-gradient estimators are straightforward to…

Bayesian methods are appealing in their flexibility in modeling complex data and ability in capturing uncertainty in parameters. However, when Bayes' rule does not result in tractable closed-form, most approximate inference algorithms lack…

Sampling a target probability distribution with an unknown normalization constant is a fundamental challenge in computational science and engineering. Recent work shows that algorithms derived by considering gradient flows in the space of…

We consider the problem of minimizing the sum of non-smooth convex functions in non-Euclidean spaces, e.g., probability simplex, via only local computation and communication on an undirected graph. We propose two algorithms motivated by…

Maximum mean discrepancies (MMDs) like the kernel Stein discrepancy (KSD) have grown central to a wide range of applications, including hypothesis testing, sampler selection, distribution approximation, and variational inference. In each…

Many core problems in robotics can be framed as constrained optimization problems. Often on these problems, the robotic system has uncertainty, or it would be advantageous to identify multiple high quality feasible solutions. To enable…

Particle-based methods include a variety of techniques, such as Markov Chain Monte Carlo (MCMC) and Sequential Monte Carlo (SMC), for approximating a probabilistic target distribution with a set of weighted particles. In this paper, we…

We consider expected risk minimization problems when the range of the estimator is required to be nonnegative, motivated by the settings of maximum likelihood estimation (MLE) and trajectory optimization. To facilitate nonlinear…

We propose and analyze a class of adaptive sampling algorithms for multimodal distributions on a bounded domain, which share a structural resemblance to the classic overdamped Langevin dynamics. We first demonstrate that this class of…

Estimating Kullback Leibler (KL) divergence from samples of two distributions is essential in many machine learning problems. Variational methods using neural network discriminator have been proposed to achieve this task in a scalable…

We consider the nonlinear Kalman filtering problem using Kullback-Leibler (KL) and $\alpha$-divergence measures as optimization criteria. Unlike linear Kalman filters, nonlinear Kalman filters do not have closed form Gaussian posteriors…

We focus on the problem of efficient sampling and learning of probability densities by incorporating symmetries in probabilistic models. We first introduce Equivariant Stein Variational Gradient Descent algorithm -- an equivariant sampling…

Variational Inference (VI) is a popular alternative to asymptotically exact sampling in Bayesian inference. Its main workhorse is optimization over a reverse Kullback-Leibler divergence (RKL), which typically underestimates the tail of the…

We introduce a novel nonlinear Kalman filter that utilizes reparametrization gradients. The widely used parametric approximation is based on a jointly Gaussian assumption of the state-space model, which is in turn equivalent to minimizing…