We consider the task of sampling from a log-concave probability distribution. This target distribution can be seen as a minimizer of the relative entropy functional defined on the space of probability distributions. The relative entropy can be decomposed as the sum of a functional called the potential energy, assumed to be smooth, and a nonsmooth functional called the entropy. We adopt a Forward Backward (FB) Euler scheme for the discretization of the gradient flow of the relative entropy. This FB algorithm can be seen as a proximal gradient algorithm to minimize the relative entropy over the space of probability measures. Using techniques from convex optimization and optimal transport, we provide a non-asymptotic analysis of the FB algorithm. The convergence rate of the FB algorithm matches the convergence rate of the classical proximal gradient algorithm in Euclidean spaces. The practical implementation of the FB algorithm can be challenging. In practice, the user may choose to discretize the space and work with empirical measures. In this case, we provide a closed form formula for the proximity operator of the entropy.
This article is devoted to the problem of predicting the value taken by a random permutation Σ, describing the preferences of an individual over a set of numbered items {1, . . . , n} say, based on the observation of an input/explanatory r.v. X (e.g. characteristics of the individual), when error is measured by the Kendall τ distance. In the probabilistic formulation of the 'Learning to Order' problem we propose, which extends the framework for statistical Kemeny ranking aggregation developped in Korba et al. (2017), this boils down to recovering conditional Kemeny medians of Σ given X from i.i.d. training examples (X 1 , Σ 1 ), . . . , (X N , Σ N ). For this reason, this statistical learning problem is referred to as ranking median regression here. Our contribution is twofold. We first propose a probabilistic theory of ranking median regression: the set of optimal elements is characterized, the performance of empirical risk minimizers is investigated in this context and situations where fast learning rates can be achieved are also exhibited. Next we introduce the concept of local consensus/median, in order to derive efficient methods for ranking median regression. The major advantage of this local learning approach lies in its close connection with the widely studied Kemeny aggregation problem. From an algorithmic perspective, this permits to build predictive rules for ranking median regression by implementing efficient techniques for (approximate) Kemeny median computations at a local level in a tractable manner. In particular, versions of k-nearest neighbor and tree-based methods, tailored to ranking median regression, are investigated. Accuracy of piecewise constant ranking median regression rules is studied under a specific smoothness assumption for Σ's conditional distribution given X. The results of various numerical experiments are also displayed for illustration purpose.
Adaptive importance sampling is a widely spread Monte Carlo technique that uses a re-weighting strategy to iteratively estimate the so-called target distribution. A major drawback of adaptive importance sampling is the large variance of the weights which is known to badly impact the accuracy of the estimates. This paper investigates a regularization strategy whose basic principle is to raise the importance weights at a certain power. This regularization parameter, that might evolve between zero and one during the algorithm, is shown (i) to balance between the bias and the variance and (ii) to be connected to the mirror descent framework. Using a kernel density estimate to build the sampling policy, the uniform convergence is established under mild conditions. Finally, several practical ways to choose the regularization parameter are discussed and the benefits of the proposed approach are illustrated empirically.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.
hi@scite.ai
10624 S. Eastern Ave., Ste. A-614
Henderson, NV 89052, USA
Copyright © 2024 scite LLC. All rights reserved.
Made with 💙 for researchers
Part of the Research Solutions Family.