A Neural Network MCMC sampler that maximizes Proposal Entropy
Authors: ZENGYI LI, Yubei Chen, Friedrich Sommer
Keywords: MCMC, Adaptive MCMC, Neural MCMC, Normalizing Flow, Entropy based speed Measure, HMC, Energy-based Model, Sampling
Abstract: Markov Chain Monte Carlo (MCMC) methods sample from unnormalized probability distributions and offer guarantees of exact sampling. However, in the continuous case, unfavorable geometry of the target distribution can greatly limit the efficiency of MCMC methods. Augmenting samplers with neural networks can potentially improve their efficiency. Previous neural network based samplers were trained with objectives that either did not explicitly encourage exploration, or used a L2 jump objective which could only be applied to well structured distributions. Thus it seems promising to instead maximize the proposal entropy for adapting the proposal to distributions of any shape. To allow direct optimization of the proposal entropy, we propose a neural network MCMC sampler that has a flexible and tractable proposal distribution. Specifically, our network architecture utilizes the gradient of the target distribution for generating proposals. Our model achieves significantly higher efficiency than previous neural network MCMC techniques in a variety of sampling tasks. Further, the sampler is applied on training of a convergent energy-based model of natural images. The learned sampler achieves significantly higher proposal entropy and sample quality compared to Langevin dynamics sampler.