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Differentiable Annealed Importance Sampling and the Perils of Gradient Noise

NeurIPS 2021 · Optimization › Optimizers · approach: Stochastic gradient MCMC · 1 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use stochastic rather than full-batch gradientsDAIS · Bayesian linear regressionlog marginal likelihood bound gap: \liminf_{K \rightarrow \infty} |\log p(\mathcal{D}) - \mathcal{L}_\text{DAIS}| > 0Hurt
Use full-batch gradients with equally spaced annealing and η ∼ 1/K^c, c = 1/4DAIS · Bayesian linear regressionlog marginal likelihood bound gap: \mathcal{O}(1/\sqrt{K})Helped
Increase the number of intermediate distributions KDAVI · Dynamically binarized MNISTtest negative log-likelihoodHelped
Use DAVI instead of IWAE at the low-compute setting S×K=5Dynamically binarized MNIST · Dynamically binarized MNIST, S×K=5test negative log-likelihood: 85.43 -> 86.51Hurt
Use DAVI instead of IWAE at S×K=500, K=10Dynamically binarized MNIST · Dynamically binarized MNIST, S×K=500, K=10test negative log-likelihood: 83.87 -> 83.62Helped
Learn the annealing scheme (ablation)DAVI · Dynamically binarized MNISTtest negative log-likelihood: 86.51 -> 86.49; 84.49 -> 84.42; 84.45 -> 84.39; 85.23 -> 85.00; 83.62 -> 83.56; 83.65 -> 83.69Mixed
Remove the Metropolis-Hastings correctionDAIS versus AIS · VAE model evaluationnegative log-likelihoodNo clear effect
Increase compute for annealing-based evaluation rather than using low-budget importance weightingDAIS, AIS, and HAIS versus IWAE · VAE-, IWAE-, or DAIS-trained modelsnegative log-likelihoodMixed

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