Optimization of Annealed Importance Sampling Hyperparameters
Abstract
Annealed Importance Sampling (AIS) is a popular algorithm used to estimates the intractable marginal likelihood of deep generative models. Although AIS is guaranteed to provide unbiased estimate for any set of hyperparameters, the common implementations rely on simple heuristics such as the geometric average bridging distributions between initial and the target distribution which affect the estimation performance when the computation budget is limited. In order to reduce the number of sampling iterations, we present a parameteric AIS process with flexible intermediary distributions defined by a residual density with respect to the geometric mean path. Our method allows parameter sharing between annealing distributions, the use of fix linear schedule for discretization and amortization of hyperparameter selection in latent variable models. We assess the performance of Optimized-Path AIS for marginal likelihood estimation of deep generative models and compare it to compare it to more computationally intensive AIS.
Cite
Text
Goshtasbpour and Pérez-Cruz. "Optimization of Annealed Importance Sampling Hyperparameters." European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, 2022. doi:10.1007/978-3-031-26419-1_11Markdown
[Goshtasbpour and Pérez-Cruz. "Optimization of Annealed Importance Sampling Hyperparameters." European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases, 2022.](https://mlanthology.org/ecmlpkdd/2022/goshtasbpour2022ecmlpkdd-optimization/) doi:10.1007/978-3-031-26419-1_11BibTeX
@inproceedings{goshtasbpour2022ecmlpkdd-optimization,
title = {{Optimization of Annealed Importance Sampling Hyperparameters}},
author = {Goshtasbpour, Shirin and Pérez-Cruz, Fernando},
booktitle = {European Conference on Machine Learning and Principles and Practice of Knowledge Discovery in Databases},
year = {2022},
pages = {174-190},
doi = {10.1007/978-3-031-26419-1_11},
url = {https://mlanthology.org/ecmlpkdd/2022/goshtasbpour2022ecmlpkdd-optimization/}
}