Continual Repeated Annealed Flow Transport Monte Carlo. (arXiv:2201.13117v2 [stat.ML] UPDATED)

We propose Continual Repeated Annealed Flow Transport Monte Carlo (CRAFT), a
method that combines a sequential Monte Carlo (SMC) sampler (itself a
generalization of Annealed Importance Sampling) with variational inference
using normalizing flows. The normalizing flows are directly trained to
transport between annealing temperatures using a KL divergence for each
transition. This optimization objective is itself estimated using the
normalizing flow/SMC approximation. We show conceptually and using multiple
empirical examples that CRAFT improves on Annealed Flow Transport Monte Carlo
(Arbel …

arxiv continual flow ml transport