Efficient Multi-Modal Sampling via Tempered Distribution Flow
Abstract: Sampling from high-dimensional distributions is a fundamental problem in statistical research and practice, and has become a central task in Bayesian computing, Monte Carlo simulation, and energy-based models. However, great challenges emerge when the target density function is unnormalized and contains multiple modes that are isolated with each other. We tackle this difficulty by fitting an invertible transformation mapping applied to the target distribution, such that the original distribution is warped into a new one that is much easier to sample from. The transformation mapping is constructed based on the normalizing flow model in deep learning. To address the multi-modality issue, our method adaptively learns a sequence of tempered distributions, which we term as a tempered distribution flow, to progressively approach the original distribution. Various experiments demonstrate the superior performance of this novel sampler compared to traditional methods.