用加速梯度法改进离散采样,提升收敛速度。
Accelerated Markov Chain Monte Carlo Algorithms on Discrete States
- 基于Nesterov加速梯度,构建带动量的离散采样框架。
- 在格点高斯混合与超立方体分布上,采样速度更快、更稳定。
- 无需归一化常数,适合高维离散分布建模与推断。
我们提出一类基于Nesterov加速梯度法的离散状态采样算法,扩展了经典Metropolis-Hastings (MH) 算法。MH算法中状态概率分布的演化可视为在带移动性函数的离散Wasserstein-2度量下对KL散度的梯度下降。这启发我们采用阻尼哈密顿流构建基于动量的加速框架,其稳态分布匹配目标离散分布。进一步设计了交互粒子系统来近似该加速采样动态。算法支持一般势函数与移动性函数的选择,特别地,采用相对Fisher信息的加速梯度流,实现无需归一化常数的离散得分函数估计,并保持概率为正。数值实验包括在格点上的高斯混合分布及超立方体上的分布采样,均验证了该算法的有效性。
原文摘要 · Abstract (English)
We propose a class of discrete state sampling algorithms based on Nesterov's accelerated gradient method, which extends the classical Metropolis-Hastings (MH) algorithm. The evolution of the discrete states probability distribution governed by MH can be interpreted as a gradient descent direction of the Kullback--Leibler (KL) divergence, via a mobility function and a score function. Specifically, this gradient is defined on a probability simplex equipped with a discrete Wasserstein-2 metric with a mobility function. This motivates us to study a momentum-based acceleration framework using damped Hamiltonian flows on the simplex set, whose stationary distribution matches the discrete target distribution. Furthermore, we design an interacting particle system to approximate the proposed accelerated sampling dynamics. The extension of the algorithm with a general choice of potentials and mobilities is also discussed. In particular, we choose the accelerated gradient flow of the relative Fisher information, demonstrating the advantages of the algorithm in estimating discrete score functions without requiring the normalizing constant and keeping positive probabilities. Numerical examples, including sampling on a Gaussian mixture supported on lattices or a distribution on a hypercube, demonstrate the effectiveness of the proposed discrete-state sampling algorithm.
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