Transport Monte Carlo: High-Accuracy Posterior Approximation via Random Transport

DOI10.1080/01621459.2021.2003201MaRDI QIDQ6077558zbMATH OpenOpenAlexFDO

Authors Leo L. Duan

Publication date 18 October 2023

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.10448

zbMATH Keywords

infinite mixtureMonge and Kantorovich transportsnoninvertible transportsimple function approximation

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: In Bayesian applications, there is a huge interest in rapid and accurate estimation of the posterior distribution, particularly for high dimensional or hierarchical models. In this article, we propose to use optimization to solve for a joint distribution (random transport plan) between two random variables, $heta$ from the posterior distribution and $$ from the simple multivariate uniform. Specifically, we obtain an approximate estimate of the conditional distribution $$ as an infinite mixture of simple location-scale changes; applying the Bayes' theorem, $$ can be sampled as one of the reversed transforms from the uniform, with the weight proportional to the posterior density/mass function. This produces independent random samples with high approximation accuracy, as well as nice theoretic guarantees. Our method shows compelling advantages in performance and accuracy, compared to the state-of-the-art Markov chain Monte Carlo and approximations such as variational Bayes and normalizing flow. We illustrate this approach via several challenging applications, such as sampling from multi-modal distribution, estimating sparse signals in high dimension, and soft-thresholding of a graph with a prior on the degrees.

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Cited in

(2)

• Gibbs Flow for Approximate Transport with Applications to Bayesian Computation
• Distilling Importance Sampling for Likelihood Free Inference

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