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NETS: A Non-Equilibrium Transport Sampler

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arxiv 2410.02711 v3 pith:FDMKUMDC submitted 2024-10-03 cs.LG cond-mat.stat-mechhep-lat

NETS: A Non-Equilibrium Transport Sampler

classification cs.LG cond-mat.stat-mechhep-lat
keywords netsnon-equilibriumsamplingdifferentialdistributionsdriftestimatedsample
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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We propose an algorithm, termed the Non-Equilibrium Transport Sampler (NETS), to sample from unnormalized probability distributions. NETS can be viewed as a variant of annealed importance sampling (AIS) based on Jarzynski's equality, in which the stochastic differential equation used to perform the non-equilibrium sampling is augmented with an additional learned drift term that lowers the impact of the unbiasing weights used in AIS. We show that this drift is the minimizer of a variety of objective functions, which can all be estimated in an unbiased fashion without backpropagating through solutions of the stochastic differential equations governing the sampling. We also prove that some these objectives control the Kullback-Leibler divergence of the estimated distribution from its target. NETS is shown to be unbiased and, in addition, has a tunable diffusion coefficient which can be adjusted post-training to maximize the effective sample size. We demonstrate the efficacy of the method on standard benchmarks, high-dimensional Gaussian mixture distributions, and a model from statistical lattice field theory, for which it surpasses the performances of related work and existing baselines.

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