Keywords: importance sampling, monte carlo, annealing, score matching
TL;DR: Learned optimal reverse kernels for Annealed Importance Sampling via Score Matching
Abstract: Annealed Importance Sampling (AIS) is one of the most effective methods for marginal likelihood estimation. It relies on a sequence of distributions interpolating between a tractable initial distribution and the posterior of interest which we simulate from approximately using a non-homogeneous Markov chain. To obtain an importance sampling (IS) estimate of the marginal likelihood, AIS introduces an extended target distribution to reweight the Markov chain proposal. While much effort has been devoted to improving the proposal distribution used by AIS by changing the intermediate distributions and corresponding Markov kernels, an underappreciated issue is that AIS uses an convenient but suboptimal extended target distribution which can hinder its performance. We leverage here recent progress in score-based generative modeling to learn the optimal extended target distribution for a given AIS proposal using score matching ideas. We demonstrate this novel differentiable AIS procedure on a number of synthetic benchmark distributions and a normalizing flow target.