论文标题
基于梯度的自适应重要性采样器
Gradient-based Adaptive Importance Samplers
论文作者
论文摘要
储层计算是预测湍流的有力工具,其简单的架构具有处理大型系统的计算效率。然而,其实现通常需要完整的状态向量测量和系统非线性知识。我们使用非线性投影函数将系统测量扩展到高维空间,然后将其输入到储层中以获得预测。我们展示了这种储层计算网络在时空混沌系统上的应用,该系统模拟了湍流的若干特征。我们表明,使用径向基函数作为非线性投影器,即使只有部分观测并且不知道控制方程,也能稳健地捕捉复杂的系统非线性。最后,我们表明,当测量稀疏、不完整且带有噪声,甚至控制方程变得不准确时,我们的网络仍然可以产生相当准确的预测,从而为实际湍流系统的无模型预测铺平了道路。
Importance sampling (IS) is a powerful Monte Carlo methodology for the approximation of intractable integrals, very often involving a target probability density function. The performance of IS heavily depends on the appropriate selection of the proposal distributions where the samples are simulated from. In this paper, we propose an adaptive importance sampler, called GRAMIS, that iteratively improves the set of proposals. The algorithm exploits geometric information of the target to adapt the location and scale parameters of those proposals. Moreover, in order to allow for a cooperative adaptation, a repulsion term is introduced that favors a coordinated exploration of the state space. This translates into a more diverse exploration and a better approximation of the target via the mixture of proposals. Moreover, we provide a theoretical justification of the repulsion term. We show the good performance of GRAMIS in two problems where the target has a challenging shape and cannot be easily approximated by a standard uni-modal proposal.