Abstract:We propose a framework for the greedy approximation of high-dimensional Bayesian inference problems, through the composition of multiple \emph{low-dimensional} transport maps or flows. Our framework operates recursively on a sequence of ``residual'' distributions, given by pulling back the posterior through the previously computed transport maps. The action of each map is confined to a low-dimensional subspace that we identify by minimizing an error bound. At each step, our approach thus identifies (i) a relevant subspace of the residual distribution, and (ii) a low-dimensional transformation between a restriction of the residual onto this subspace and a standard Gaussian. We prove weak convergence of the approach to the posterior distribution, and we demonstrate the algorithm on a range of challenging inference problems in differential equations and spatial statistics.
Abstract:We investigate the low-dimensional structure of deterministic transformations between random variables, i.e., transport maps between probability measures. In the context of statistics and machine learning, these transformations can be used to couple a tractable "reference" measure (e.g., a standard Gaussian) with a target measure of interest. Direct simulation from the desired measure can then be achieved by pushing forward reference samples through the map. Yet characterizing such a map---e.g., representing and evaluating it---grows challenging in high dimensions. The central contribution of this paper is to establish a link between the Markov properties of the target measure and the existence of low-dimensional couplings, induced by transport maps that are sparse and/or decomposable. Our analysis not only facilitates the construction of transformations in high-dimensional settings, but also suggests new inference methodologies for continuous non-Gaussian graphical models. For instance, in the context of nonlinear state-space models, we describe new variational algorithms for filtering, smoothing, and sequential parameter inference. These algorithms can be understood as the natural generalization---to the non-Gaussian case---of the square-root Rauch-Tung-Striebel Gaussian smoother.