从变分推断视角重述粒子流,揭示其与费雪-罗渐变流的深层联系。
Variational Formulation of Particle Flow
- 将粒子流视为概率密度空间中的费雪-罗渐变流轨迹
- 在高斯假设下,等价于精确的Daum-Huang粒子流
- 采用高斯混合提升模型表达能力,适用于复杂分布估计
本文从变分推断视角重新阐述对数同伦粒子流。我们证明,用于推导粒子流的瞬时密度遵循概率密度空间中费雪-罗渐变流的时间缩放轨迹。该渐变流是连续时间变分推断算法,旨在最小化变分密度与真实后验密度之间的相对熵。当考虑参数化变分密度族时,函数空间的费雪-罗渐变流退化为变分参数的自然梯度流。采用高斯变分密度时,导出高斯近似费雪-罗粒子流,并在线性高斯假设下,其退化为精确的Daum和Huang粒子流。此外,引入高斯混合近似费雪-罗粒子流,通过多模态变分密度增强模型表达能力。在低维与高维估计问题上的仿真验证了方法的有效性。
原文摘要 · Abstract (English)
This paper provides a formulation of the log-homotopy particle flow from the perspective of variational inference. We show that the transient density used to derive the particle flow follows a time-scaled trajectory of the Fisher-Rao gradient flow in the space of probability densities. The Fisher-Rao gradient flow is obtained as a continuous-time algorithm for variational inference, minimizing the Kullback-Leibler divergence between a variational density and the true posterior density. When considering a parametric family of variational densities, the function space Fisher-Rao gradient flow simplifies to the natural gradient flow of the variational density parameters. By adopting a Gaussian variational density, we derive a Gaussian approximated Fisher-Rao particle flow and show that, under linear Gaussian assumptions, it reduces to the Exact Daum and Huang particle flow. Additionally, we introduce a Gaussian mixture approximated Fisher-Rao particle flow to enhance the expressive power of our model through a multi-modal variational density. Simulations on low- and high-dimensional estimation problems illustrate our results.
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