arXiv:2602.10989math.STcs.IT2026-02被引 1

Föllmer过程在生成扩散中实现路径空间最优,无需模拟即可从数据估计漂移。

Variational Optimality of Föllmer Processes in Generative Diffusions

  • 用条件期望表示漂移,仅需独立样本即可估计,无需模拟过程。
  • 最优扩散系数使路径空间KL散度与插值调度无关,不同调度等价。
  • 提出新变分表征,适用于概率预测与数据同化场景。

我们构建并分析了在有限时间窗内将点质量传输至指定目标分布的生成扩散模型,基于随机插值框架。漂移项以条件期望形式表达,可仅通过独立样本估计,无需模拟随机过程。我们证明扩散系数可在事后调节,且不改变时间边缘分布。在所有此类调节中,最小化估计误差对路径空间Kullback--Leibler散度的影响,闭式选出一个Föllmer过程——其路径测度相对于仅由插值调度决定的参考过程,最小化相对熵。这给出了Föllmer过程的新变分刻画,补充了经典通过Schrödinger桥和随机控制的表述,并提供了可实现无模拟估计的Föllmer漂移的条件期望表示。进一步证明,在此最优扩散系数下,路径空间KL散度不再依赖插值调度,使得不同调度在该变分意义上统计等价。我们通过数值实验展示了Föllmer过程路径空间变分最优性在概率预测与数据同化应用中的影响。

原文摘要 · Abstract (English)

We construct and analyze generative diffusions that transport a point mass to a prescribed target distribution over a finite time horizon using the stochastic interpolant framework. The drift is expressed as a conditional expectation that can be estimated from independent samples without simulating stochastic processes. We show that the diffusion coefficient can be tuned \emph{a~posteriori} without changing the time-marginal distributions. Among all such tunings, we prove that minimizing the impact of estimation error on the path-space Kullback--Leibler divergence selects, in closed form, a Föllmer process -- a diffusion whose path measure minimizes relative entropy with respect to a reference process determined by the interpolation schedules alone. This yields a new variational characterization of Föllmer processes, complementing classical formulations via Schrödinger bridges and stochastic control, and provides a conditional-expectation representation of the Föllmer drift that enables simulation-free estimation from data. We further establish that, under this optimal diffusion coefficient, the path-space Kullback--Leibler divergence becomes independent of the interpolation schedule, rendering different schedules statistically equivalent in this variational sense. We provide numerical experiments to illustrate the impact of path-space variational optimality of Föllmer's processes in probabilistic forecasting and data assimilation applications.

生成模型扩散模型变分推断Föllmer过程

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