Progressive Tempering Sampler with Diffusion

Severi Rissanen, RuiKang OuYang, Jiajun He, Wenlin Chen, Markus Heinonen, Arno Solin, José Miguel Hernández-Lobato

TL;DR: We design a diffusion based neural sampler by progressively reducing the temperature with a guidance term.

Abstract:

Recent research has focused on designing neural samplers that amortize the process of sampling from unnormalized densities.
However, despite significant advancements, they still fall short of the state-of-the-art MCMC approach, Parallel Tempering (PT), when it comes to the efficiency of target evaluations. On the other hand, unlike a well-trained neural sampler, PT yields only dependent samples and needs to be rerun---at considerable computational cost---whenever new samples are required. To address these weaknesses, we propose the Progressive Tempering Sampler with Diffusion (PTSD), which trains diffusion models sequentially across temperatures, leveraging the advantages of PT to improve the training of neural samplers. We also introduce a novel method to combine high-temperature diffusion models to generate approximate lower-temperature samples, which are minimally refined using MCMC and used to train the next diffusion model. PTSD enables efficient reuse of sample information across temperature levels while generating well-mixed, uncorrelated samples. Our method significantly improves target evaluation efficiency,
outperforming diffusion-based neural samplers.

Lay Summary: Drawing samples from a complex system is often difficult. Raising the temperature of the system can often accelerate the transition between different states and hence can accelerate the sampling procedure. In this paper, we leverage this property to design faster samplers. We use a network to fit to the high temperature data, and cool down the system gradually using a specific designed "guidance". This allows us to efficiently sample from complex targets.

Link To Code: https://github.com/cambridge-mlg/Progressive-Tempering-Sampler-with-Diffusion

Primary Area: Probabilistic Methods->Monte Carlo and Sampling Methods

Keywords: parallel tempering, neural samplers, sampling from unnormalised densities

Submission Number: 11756