Gibbs flow for approximate transport with applications to Bayesian computation

Abstract

Let $π_{0}$ and $π_{1}$ be two distributions on the Borel space $(\mathbb{R}^{d},\mathcal{B}(\mathbb{R}^{d}))$. Any measurable function $T:\mathbb{R}^{d}\rightarrow\mathbb{R}^{d}$ such that $Y=T(X)\simπ_{1}$ if $X\simπ_{0}$ is called a transport map from $π_{0}$ to $π_{1}$. For any $π_{0}$ and $π_{1}$, if one could obtain an analytical expression for a transport map from $π_{0}$ to $π_{1}$, then this could be straightforwardly applied to sample from any distribution. One would map draws from an easy-to-sample distribution $π_{0}$ to the target distribution $π_{1}$ using this transport map. Although it is usually impossible to obtain an explicit transport map for complex target distributions, we show here how to build a tractable approximation of a novel transport map. This is achieved by moving samples from $π_{0}$ using an ordinary differential equation with a velocity field that depends on the full conditional distributions of the target. Even when this ordinary differential equation is time-discretized and the full conditional distributions are numerically approximated, the resulting distribution of mapped samples can be efficiently evaluated and used as a proposal within sequential Monte Carlo samplers. We demonstrate significant gains over state-of-the-art sequential Monte Carlo samplers at a fixed computational complexity on a variety of applications.