Feynman-Kac Operator Expectation Estimator

ICLR 2025 Conference Submission1889 Authors

Keywords: Expectation Estimator, Diffusion bridge model, MCMC, Physically Informed Neural Networks, Minimum Wasserstein Estimator

TL;DR: The Feynman-Kac Operator Expectation Estimator is a parallel method to the MCMC estimator. The reduction of error as data size is scaled up goes beyond what normal statistical methods allow.

Abstract: The Feynman-Kac Operator Expectation Estimator (FKEE) is an innovative method for estimating the target Mathematical Expectation $\mathbb{E}_{X\sim P}[f(X)]$ without relying on a large number of samples, in contrast to the commonly used Markov Chain Monte Carlo (MCMC) Expectation Estimator. FKEE comprises diffusion bridge models and approximation of the Feynman-Kac operator. The key idea is to use the solution to the Feynmann-Kac equation at the initial time $u(x_0,0)=\mathbb{E}[f(X_T)|X_0=x_0]$. We use Physically Informed Neural Networks (PINN) to approximate the Feynman-Kac operator, which enables the incorporation of diffusion bridge models into the expectation estimator and significantly improves the efficiency of using data while substantially reducing the variance. Diffusion Bridge Model is a more general MCMC method. In order to incorporate extensive MCMC algorithms, we propose a new diffusion bridge model based on the Minimum Wasserstein distance. This diffusion bridge model is universal and reduces the training time of the PINN. FKEE also reduces the adverse impact of the curse of dimensionality and weakens the assumptions on the distribution of $X$ and performance function $f$ in the general MCMC expectation estimator. The theoretical properties of this universal diffusion bridge model are also shown. Finally, we demonstrate the advantages and potential applications of this method through various concrete experiments, including the challenging task of approximating the partition function in the random graph model such as the Ising model.

Primary Area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)

Code Of Ethics: I acknowledge that I and all co-authors of this work have read and commit to adhering to the ICLR Code of Ethics.

Submission Guidelines: I certify that this submission complies with the submission instructions as described on https://iclr.cc/Conferences/2025/AuthorGuide.

Reciprocal Reviewing: I understand the reciprocal reviewing requirement as described on https://iclr.cc/Conferences/2025/CallForPapers. If none of the authors are registered as a reviewer, it may result in a desk rejection at the discretion of the program chairs. To request an exception, please complete this form at https://forms.gle/Huojr6VjkFxiQsUp6.

Anonymous Url: I certify that there is no URL (e.g., github page) that could be used to find authors’ identity.

No Acknowledgement Section: I certify that there is no acknowledgement section in this submission for double blind review.

Submission Number: 1889