Séminaire Probabilités et Statistiques
Sampling through optimization of divergences on the space of measures
07
Nov. 2024
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Intervenant : Anna Korba
Institution : ENSAE
Heure : 15h30 - 16h30
Lieu : 3L15

Sampling from a target measure when only partial information is available (e.g. unnormalized density as in Bayesian inference, or true samples as in generative modeling) is a fundamental problem in computational statistics and machine learning. The sampling problem can be cast as an optimization one over the space of probability distributions of a well-chosen discrepancy,  e.g. a divergence or distance to the target. In this talk, I will discuss several properties of sampling algorithms for some choices of novel discrepancies based on reproducing kernels, both regarding their optimization and quantization aspects.

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