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Stochastic Optimal Control for Diffusion Bridges in Function Spaces

NeurIPS 2024 · Image generation › Fast diffusion sampling · approach: Diffusion theory and learned samplers · 1 citations (OpenAlex)

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Derives Doob's h-transform and stochastic optimal control for diffusion bridges in infinite-dimensional Hilbert spaces, using an explicit Gaussian Radon-Nikodym density, and applies it to function-space bridge matching and Bayesian posterior sampling (DBFS).

Problem

Diffusion bridges and sampling in infinite-dimensional function spaces lack a theory: there is no Lebesgue density, so Doob's h-transform and SOC-based diffusion models cannot be directly applied.

Approach

Extends SOC and Doob's h-transform to Hilbert spaces by defining h via an explicit Radon-Nikodym derivative with respect to a Gaussian reference measure (N(0,Q_inf)), enabling bridge matching and relative-entropy-based Bayesian posterior learning on function-valued data.

Key results

Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use DBFS instead of SP-SGM1D function generation · Quadratickernel two-sample test power (%): 5.4 ± 0.7 -> 5.1 ± 0.4Helped
Use DBFS instead of SP-SGM1D function generation · Melbournekernel two-sample test power (%): 5.3 ± 0.7 -> 9.67 ± 0.45Hurt
Use DBFS instead of SP-SGM1D function generation · Gridwatchkernel two-sample test power (%): 4.7 ± 0.5 -> 3.9 ± 0.4Helped
Use DBFS instead of DSBMUnpaired image transfer · EMNIST → MNISTFID: 6.0 -> 9.1Hurt
Use DBFS instead of DSBMUnpaired image transfer · AFHQ-64 Wild → CatFID: 25.4 -> 44.4Hurt
Use DBFS instead of DSDP-GPPhysionet imputation · 10% observedimputation RMSE: 0.52 ± 0.04 -> 0.50 ± 0.04Helped
Use DBFS instead of DSDP-GPPhysionet imputation · 50% observedimputation RMSE: 0.64 ± 0.05 -> 0.61 ± 0.04Helped
Use DBFS instead of DSDP-GPPhysionet imputation · 90% observedimputation RMSE: 0.81 ± 0.03 -> 0.77 ± 0.03Helped
Use DBFS instead of CNPFunctional regression · RBF contextlog-likelihood: 0.97 ± 0.01 -> 1.02 ± 0.01Helped
Use DBFS instead of CNPFunctional regression · RBF targetlog-likelihood: 0.45 ± 0.01 -> 0.47 ± 0.01Helped
Use DBFS instead of CNPFunctional regression · Matérn 5/2 context and targetlog-likelihood: 0.85± 0.01 -> 0.93 ± 0.01; 0.21 ± 0.02 -> 0.25 ± 0.01Helped
Use DBFS instead of CNPFunctional regression · Periodic contextlog-likelihood: -0.16± 0.01 -> -0.15 ± 0.01Helped

Surprising findings

Limitations

Experimental setup

Datasets: MNIST EMNIST AFHQ Physionet Quadratic Melbourne Gridwatch Gaussian process synthetic data

Benchmarks: MNIST EMNIST AFHQ-64 Wild to Cat Physionet Quadratic Melbourne Gridwatch Gaussian process regression

Metrics: kernel two-sample test power FID imputation RMSE log-likelihood

Baselines: IDBM DSBM NDP SP-SGM CSDI DSDP-GP CNP NP

Builds on: Doob's h-transform Schrödinger bridge bridge matching iterative density fitting (IDBM) Girsanov theorem

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