Certifiable low-dimensional structure in transport and inference
Presenter
May 10, 2023
Abstract
I will discuss two notions of low-dimensional structure in probability measures, and their interplay with transport-driven methods for sampling and approximate inference. The first seeks to approximate a high-dimensional target measure as a low-dimensional update of a dominating reference measure. The second is low-rank conditional structure, where the goal is to replace conditioning variables with low-dimensional projections or summaries. In both cases, under appropriate assumptions on the reference or target measures, we can derive gradient-based upper bounds on the associated approximation error and minimize these bounds to identify good subspaces for approximation. The associated subspaces then dictate specific structural ansatzes for transport maps that represent the target of interest as the pushforward or pullback of a suitable reference measure.
I will show several algorithmic instantiations of this idea: a greedy algorithm that builds deep compositions of maps, where low-dimensional projections of the parameters are iteratively transformed to match the target; and a simulation-based inference algorithm that uses low-rank conditional structure to efficiently solve Bayesian inverse problems.
Based on joint work with Ricardo Baptista, Michael Brennan, and Olivier Zahm.