Kernel Stein Discrepancy Descent¶

Sampling by optimization of the Kernel Stein Discrepancy

The paper is available at https://arxiv.org/abs/2105.09994.

The code uses Pytorch, and a numpy backend is available for SVGD.

The package also contains the code for the celebrated Stein Variational Gradient Descent algorithm and Maximum Mean Discrepancy gradient flow.

Install¶

The code is available on pip:

$ pip install ksddescent

The github repository is at github.com/pierreablin/ksddescent

Example¶

The main function is ksdd_lbfgs, which uses the fast L-BFGS algorithm to converge quickly. It takes as input the initial position of the particles, and the score function. For instance, to samples from a Gaussian (where the score is identity), you can use these simple lines of code:

>>> import torch
>>> from ksddescent import ksdd_lbfgs
>>> n, p = 50, 2
>>> x0 = torch.rand(n, p)  # start from uniform distribution
>>> score = lambda x: x  # simple score function
>>> x = ksdd_lbfgs(x0, score)  # run the algorithm

Reference¶

If you use this code in your project, please cite:

Anna Korba, Pierre-Cyril Aubin-Frankowski, Simon Majewski, Pierre Ablin
Kernel Stein Discrepancy Descent
International Conference on Machine Learning, 2021

Bug reports¶

Use the github issue tracker to report bugs.