Paper ID: 2205.14240

Deterministic Langevin Monte Carlo with Normalizing Flows for Bayesian Inference

Richard D. P. Grumitt, Biwei Dai, Uros Seljak

We propose a general purpose Bayesian inference algorithm for expensive likelihoods, replacing the stochastic term in the Langevin equation with a deterministic density gradient term. The particle density is evaluated from the current particle positions using a Normalizing Flow (NF), which is differentiable and has good generalization properties in high dimensions. We take advantage of NF preconditioning and NF based Metropolis-Hastings updates for a faster convergence. We show on various examples that the method is competitive against state of the art sampling methods.

Submitted: May 27, 2022