arXiv:2604.22948cs.LGstat.CO2026-04中稿 · ICML

提出一种无需存储历史轨迹的高效采样方法,显著降低方差且内存恒定。

Score-Repellent Monte Carlo: Toward Efficient Non-Markovian Sampler with Constant Memory in General State Spaces

论文配图:Score-Repellent Monte Carlo: Toward Efficient Non-Markovian Sampler with Constant Memory in General State Spaces
图 1 · 摘自论文原文
  • 用得分均值动态追踪历史,避免重复采样
  • 方差随参数α增大呈1/α衰减,理论保证有效
  • 适用于连续与离散空间,适合高维建模任务

依赖历史的采样可减少长期蒙特卡洛方差,但现有方法在高维离散或连续空间中不可行。本文提出Score-Repellent Monte Carlo(SRMC)框架,通过在ℝ^d上对得分评估值进行运行平均来总结轨迹历史,并通过指数得分倾斜生成无归一化代理目标,由参数α控制排斥强度。该框架为通用封装:每轮迭代中,任何原目标π的基核可改在当前代理目标π_θ_n上运行,同时在线更新历史。利用带可控马尔可夫噪声的随机逼近分析,证明了历史递推与蒙特卡洛估计器的联合几乎必然收敛及联合中心极限定理。进一步识别出当α增大时渐近协方差以O(1/α)下降的区域,将有限状态空间中近零方差效应扩展至一般状态空间并保持常数内存。在连续目标和离散能量模型上的实验表明,该方法显著降低估计方差、提升模式覆盖能力,同时维持O(d)内存使用和适度的单次迭代开销。

原文摘要 · Abstract (English)

History-dependent sampling can reduce long-run Monte Carlo variance by discouraging redundant revisits, but existing schemes typically encode history through empirical measure on finite state spaces, which is infeasible in high-dimensional discrete configuration spaces or ill-posed in continuous domains. We propose Score-Repellent Monte Carlo (SRMC) framework that summarizes trajectory history by a running average of score evaluations in $\mathbb{R}^d$, where $d$ is the dimension of the score and state representation. This history is converted into a surrogate target through an exponential score tilt, indexed with $α$ that represents the strength of repellence in controlling the magnitude of the history-based repulsion. The surrogate family is normalization-free in the standard MCMC sense, yielding a generic wrapper: at each iteration, any base kernel targeting $π$ can instead be run on the current surrogate $π_{θ_n}$ while the history is updated online. We analyze the coupled evolution of the history recursion and Monte Carlo estimators using stochastic approximation with controlled Markovian noise, establishing almost sure convergence and a joint central limit theorem. We further identify regimes in which the asymptotic covariance decreases as $α$ increases, with scaling $O(1/α)$, extending the near-zero-variance effect of finite-state history-dependent samplers to general state spaces with constant memory. Experiments on continuous targets and discrete energy-based models demonstrate improved estimator variance and mode coverage, while retaining $O(d)$ memory usage and modest per-iteration overhead.

采样算法蒙特卡洛高维建模常数内存

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