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Stochastic Optimal Control for Diffusion Bridges in Function Spaces
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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
- On unpaired EMNIST to MNIST transfer, DBFS reaches test FID 9.1 versus 8.2 for IDBM and 6.0 for DSBM.
- On Physionet imputation at 10% missingness, DBFS achieves RMSE 0.50 versus 0.52 for DSDP-GP and 0.60 for CSDI.
- On 1D function generation, DBFS achieves kernel two-sample test power of 5.1% on Quadratic, comparable to SP-SGM at 5.4%, while NDP is at least 99.0%.
Measured effects reported in the paper
| What was changed | Where | Measured | Effect |
|---|---|---|---|
| Use DBFS instead of SP-SGM | 1D function generation · Quadratic | kernel two-sample test power (%): 5.4 ± 0.7 -> 5.1 ± 0.4 | Helped |
| Use DBFS instead of SP-SGM | 1D function generation · Melbourne | kernel two-sample test power (%): 5.3 ± 0.7 -> 9.67 ± 0.45 | Hurt |
| Use DBFS instead of SP-SGM | 1D function generation · Gridwatch | kernel two-sample test power (%): 4.7 ± 0.5 -> 3.9 ± 0.4 | Helped |
| Use DBFS instead of DSBM | Unpaired image transfer · EMNIST → MNIST | FID: 6.0 -> 9.1 | Hurt |
| Use DBFS instead of DSBM | Unpaired image transfer · AFHQ-64 Wild → Cat | FID: 25.4 -> 44.4 | Hurt |
| Use DBFS instead of DSDP-GP | Physionet imputation · 10% observed | imputation RMSE: 0.52 ± 0.04 -> 0.50 ± 0.04 | Helped |
| Use DBFS instead of DSDP-GP | Physionet imputation · 50% observed | imputation RMSE: 0.64 ± 0.05 -> 0.61 ± 0.04 | Helped |
| Use DBFS instead of DSDP-GP | Physionet imputation · 90% observed | imputation RMSE: 0.81 ± 0.03 -> 0.77 ± 0.03 | Helped |
| Use DBFS instead of CNP | Functional regression · RBF context | log-likelihood: 0.97 ± 0.01 -> 1.02 ± 0.01 | Helped |
| Use DBFS instead of CNP | Functional regression · RBF target | log-likelihood: 0.45 ± 0.01 -> 0.47 ± 0.01 | Helped |
| Use DBFS instead of CNP | Functional regression · Matérn 5/2 context and target | log-likelihood: 0.85± 0.01 -> 0.93 ± 0.01; 0.21 ± 0.02 -> 0.25 ± 0.01 | Helped |
| Use DBFS instead of CNP | Functional regression · Periodic context | log-likelihood: -0.16± 0.01 -> -0.15 ± 0.01 | Helped |
Surprising findings
- DBFS has slightly worse FID than finite-dimensional DSBM on unpaired image transfer (44.4 vs 25.4 on AFHQ-64), which the authors attribute to resolution-agnostic design.
Limitations
- Time-independent coefficients prevent defining a noise schedule, which may limit performance.
- Gradient of the Bayesian learning loss is computationally demanding.
- Experiments limited to regular 1D and 2D domains.
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
Closest papers by meaning
- Generative Modeling with Phase Stochastic Bridge (ICLR 2024 · similarity 0.90)
- UniDB: A Unified Diffusion Bridge Framework via Stochastic Optimal Control (ICML 2025 · similarity 0.90)
- Stochastic Control for Fine-tuning Diffusion Models: Optimality, Regularity, and Convergence (ICML 2025 · similarity 0.89)
- Underdamped Diffusion Bridges with Applications to Sampling (ICLR 2025 · similarity 0.87)
- Neural Guided Diffusion Bridges (ICML 2025 · similarity 0.87)
- Conditioning Diffusions Using Malliavin Calculus (ICML 2025 · similarity 0.87)
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