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Generative Modelling with Tensor Train approximations of Hamilton--Jacobi--Bellman equations
Feb 23, 2024
Sampling from probability densities is a common challenge in fields such as Uncertainty Quantification (UQ) and Generative Modelling (GM). In GM in particular, the use of reverse-time diffusion processes depending on the log-densities of Ornstein-Uhlenbeck forward processes are a popular sampling tool. In Berner et al. [2022] the authors point out that these log-densities can be obtained by solution of a \textit{Hamilton-Jacobi-Bellman} (HJB) equation known from stochastic optimal control. While this HJB equation is usually treated with indirect methods such as policy iteration and unsupervised training of black-box architectures like Neural Networks, we propose instead to solve the HJB equation by direct time integration, using compressed polynomials represented in the Tensor Train (TT) format for spatial discretization. Crucially, this method is sample-free, agnostic to normalization constants and can avoid the curse of dimensionality due to the TT compression. We provide a complete derivation of the HJB equation's action on Tensor Train polynomials and demonstrate the performance of the proposed time-step-, rank- and degree-adaptive integration method on a nonlinear sampling task in 20 dimensions.
Happy People -- Image Synthesis as Black-Box Optimization Problem in the Discrete Latent Space of Deep Generative Models
Jun 11, 2023
In recent years, optimization in the learned latent space of deep generative models has been successfully applied to black-box optimization problems such as drug design, image generation or neural architecture search. Existing models thereby leverage the ability of neural models to learn the data distribution from a limited amount of samples such that new samples from the distribution can be drawn. In this work, we propose a novel image generative approach that optimizes the generated sample with respect to a continuously quantifiable property. While we anticipate absolutely no practically meaningful application for the proposed framework, it is theoretically principled and allows to quickly propose samples at the mere boundary of the training data distribution. Specifically, we propose to use tree-based ensemble models as mathematical programs over the discrete latent space of vector quantized VAEs, which can be globally solved. Subsequent weighted retraining on these queries allows to induce a distribution shift. In lack of a practically relevant problem, we consider a visually appealing application: the generation of happily smiling faces (where the training distribution only contains less happy people) - and show the principled behavior of our approach in terms of improved FID and higher smile degree over baseline approaches.
Ensemble-based gradient inference for particle methods in optimization and sampling
Sep 23, 2022
We propose an approach based on function evaluations and Bayesian inference to extract higher-order differential information of objective functions {from a given ensemble of particles}. Pointwise evaluation $\{V(x^i)\}_i$ of some potential $V$ in an ensemble $\{x^i\}_i$ contains implicit information about first or higher order derivatives, which can be made explicit with little computational effort (ensemble-based gradient inference -- EGI). We suggest to use this information for the improvement of established ensemble-based numerical methods for optimization and sampling such as Consensus-based optimization and Langevin-based samplers. Numerical studies indicate that the augmented algorithms are often superior to their gradient-free variants, in particular the augmented methods help the ensembles to escape their initial domain, to explore multimodal, non-Gaussian settings and to speed up the collapse at the end of optimization dynamics.} The code for the numerical examples in this manuscript can be found in the paper's Github repository (https://github.com/MercuryBench/ensemble-based-gradient.git).
Consistency analysis of bilevel data-driven learning in inverse problems
Jul 06, 2020
One fundamental problem when solving inverse problems is how to find regularization parameters. This article considers solving this problem using data-driven bilevel optimization, i.e. we consider the adaptive learning of the regularization parameter from data by means of optimization. This approach can be interpreted as solving an empirical risk minimization problem, and we analyze its performance in the large data sample size limit for general nonlinear problems. To reduce the associated computational cost, online numerical schemes are derived using the stochastic gradient method. We prove convergence of these numerical schemes under suitable assumptions on the forward problem. Numerical experiments are presented illustrating the theoretical results and demonstrating the applicability and efficiency of the proposed approaches for various linear and nonlinear inverse problems, including Darcy flow, the eikonal equation, and an image denoising example.