Score Operator Newton transport

arXiv:2305.09792v3 Announce Type: replace-cross
Abstract: We propose a new approach for sampling and Bayesian computation that uses the score of the target distribution to construct a transport from a given reference distribution to the target. Our approach is an infinite-dimensional Newton method, involving a linear PDE, for finding a zero of a ``score-residual'' operator. We prove sufficient conditions for convergence to a valid transport map. Our Newton iterates can be computed by exploiting fast solvers for elliptic PDEs, resulting in …

abstract arxiv bayesian computation construct cs.lg cs.na distribution linear math.na math.st prove reference residual sampling stat.th transport type