Reversible Gromov-Monge Sampler for Simulation-Based Inference [article]

YoonHaeng Hur, Wenxuan Guo, Tengyuan Liang
2022 arXiv   pre-print
This paper introduces a new simulation-based inference procedure to model and sample from multi-dimensional probability distributions given access to i.i.d. samples, circumventing the usual approaches of explicitly modeling the density function or designing Markov chain Monte Carlo. Motivated by the seminal work on distance and isomorphism between metric measure spaces, we propose a new notion called the Reversible Gromov-Monge (RGM) distance and study how RGM can be used to design new
more » ... samplers to perform simulation-based inference. Our RGM sampler can also estimate optimal alignments between two heterogeneous metric measure spaces (𝒳, μ, c_𝒳) and (𝒴, ν, c_𝒴) from empirical data sets, with estimated maps that approximately push forward one measure μ to the other ν, and vice versa. Analytic properties of the RGM distance are derived; statistical rate of convergence, representation, and optimization questions regarding the induced sampler are studied. Synthetic and real-world examples showcasing the effectiveness of the RGM sampler are also demonstrated.
arXiv:2109.14090v2 fatcat:65qfjqcxnve5ffxhrhmx3tqb4a