Estimating Gradients for Discrete Random Variables by Sampling without ReplacementDownload PDF

25 Sep 2019 (modified: 11 Mar 2020)ICLR 2020 Conference Blind SubmissionReaders: Everyone
  • Original Pdf: pdf
  • Keywords: gradient, estimator, discrete, categorical, sampling, without replacement, reinforce, baseline, variance, gumbel, vae, structured prediction
  • TL;DR: We derive a low-variance, unbiased gradient estimator for expectations over discrete random variables based on sampling without replacement
  • Abstract: We derive an unbiased estimator for expectations over discrete random variables based on sampling without replacement, which reduces variance as it avoids duplicate samples. We show that our estimator can be derived as the Rao-Blackwellization of three different estimators. Combining our estimator with REINFORCE, we obtain a policy gradient estimator and we reduce its variance using a built-in control variate which is obtained without additional model evaluations. The resulting estimator is closely related to other gradient estimators. Experiments with a toy problem, a categorical Variational Auto-Encoder and a structured prediction problem show that our estimator is the only estimator that is consistently among the best estimators in both high and low entropy settings.
  • Code: https://github.com/wouterkool/estimating-gradients-without-replacement
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