论文标题
FlowMC:归一化流量增强的采样包,用于JAX中的概率推断
flowMC: Normalizing-flow enhanced sampling package for probabilistic inference in Jax
论文作者
论文摘要
FlowMC是一个加速马尔可夫链蒙特卡洛(MCMC)的Python库,利用深层生成建模。它建立在机器学习库的顶部JAX和Flax。 FlowMC以此为核心使用本地采样器和串联中可学习的全局采样器来有效地采样后验分布。虽然本地采样器的多个链会在目标参数空间中感兴趣的区域生成样品,但该软件包使用这些样品来训练归一化流模型,然后使用它来提出跨参数空间的全局跳跃。 FlowMC采样器可以处理非平凡的几何形状,例如具有局部相关性的多模式分布和分布。 下面的列表中总结了FlowMC的关键特征: *由于FlowMC建立在JAX之上,因此它通过自动分化(例如Mala和Hamiltonian Monte Carlo(HMC))支持基于梯度的采样器。 * FlowMC使用最新的标准化流模型,例如有理二次花样本来为其全局采样器供电。这些模型在相对较短的训练时间内捕获重要功能非常有效。 *使用加速器,例如GPU和TPU。该代码还支持使用SIMD并行性多个加速器的使用。 *默认情况下,使用即时(JIT)汇编来进一步加快采样过程。 *我们为想要使用FlowMC默认参数使用FlowMC的用户提供了一个简单的黑匣子接口,同时又提供了一个广泛的指南,以解释在调整采样器参数时进行折衷。上述所有功能的紧密整合使FlowMC成为高度性能但简单的使用程序包,用于统计推断。
flowMC is a Python library for accelerated Markov Chain Monte Carlo (MCMC) leveraging deep generative modeling. It is built on top of the machine learning libraries JAX and Flax. At its core, flowMC uses a local sampler and a learnable global sampler in tandem to efficiently sample posterior distributions. While multiple chains of the local sampler generate samples over the region of interest in the target parameter space, the package uses these samples to train a normalizing flow model, then uses it to propose global jumps across the parameter space. The flowMC sampler can handle non-trivial geometry, such as multimodal distributions and distributions with local correlations. The key features of flowMC are summarized in the following list: * Since flowMC is built on top of JAX, it supports gradient-based samplers through automatic differentiation such as MALA and Hamiltonian Monte Carlo (HMC). * flowMC uses state-of-the-art normalizing flow models such as Rational-Quadratic Splines to power its global sampler. These models are very efficient in capturing important features within a relatively short training time. * Use of accelerators such as GPUs and TPUs are natively supported. The code also supports the use of multiple accelerators with SIMD parallelism. * By default, Just-in-time (JIT) compilations are used to further speed up the sampling process. * We provide a simple black box interface for the users who want to use flowMC by its default parameters, yet provide at the same time an extensive guide explaining trade-offs while tuning the sampler parameters. The tight integration of all the above features makes flowMC a highly performant yet simple- to-use package for statistical inference.