Yuyang Shi

Yuyang Shi, Valentin De Bortoli, Andrew Campbell et al.

Solving transport problems, i.e. finding a map transporting one given distribution to another, has numerous applications in machine learning. Novel mass transport methods motivated by generative modeling have recently been proposed, e.g. Denoising Diffusion Models (DDMs) and Flow Matching Models (FMMs) implement such a transport through a Stochastic Differential Equation (SDE) or an Ordinary Differential Equation (ODE). However, while it is desirable in many applications to approximate the deterministic dynamic Optimal Transport (OT) map which admits attractive properties, DDMs and FMMs are not guaranteed to provide transports close to the OT map. In contrast, Schrödinger bridges (SBs) compute stochastic dynamic mappings which recover entropy-regularized versions of OT. Unfortunately, existing numerical methods approximating SBs either scale poorly with dimension or accumulate errors across iterations. In this work, we introduce Iterative Markovian Fitting (IMF), a new methodology for solving SB problems, and Diffusion Schrödinger Bridge Matching (DSBM), a novel numerical algorithm for computing IMF iterates. DSBM significantly improves over previous SB numerics and recovers as special/limiting cases various recent transport methods. We demonstrate the performance of DSBM on a variety of problems.

Kamélia Daudel, Joe Benton, Yuyang Shi et al.

Several algorithms involving the Variational Rényi (VR) bound have been proposed to minimize an alpha-divergence between a target posterior distribution and a variational distribution. Despite promising empirical results, those algorithms resort to biased stochastic gradient descent procedures and thus lack theoretical guarantees. In this paper, we formalize and study the VR-IWAE bound, a generalization of the Importance Weighted Auto-Encoder (IWAE) bound. We show that the VR-IWAE bound enjoys several desirable properties and notably leads to the same stochastic gradient descent procedure as the VR bound in the reparameterized case, but this time by relying on unbiased gradient estimators. We then provide two complementary theoretical analyses of the VR-IWAE bound and thus of the standard IWAE bound. Those analyses shed light on the benefits or lack thereof of these bounds. Lastly, we illustrate our theoretical claims over toy and real-data examples.

Yuyang Shi, Valentin De Bortoli, George Deligiannidis et al.

Denoising diffusion models have recently emerged as a powerful class of generative models. They provide state-of-the-art results, not only for unconditional simulation, but also when used to solve conditional simulation problems arising in a wide range of inverse problems. A limitation of these models is that they are computationally intensive at generation time as they require simulating a diffusion process over a long time horizon. When performing unconditional simulation, a Schrödinger bridge formulation of generative modeling leads to a theoretically grounded algorithm shortening generation time which is complementary to other proposed acceleration techniques. We extend the Schrödinger bridge framework to conditional simulation. We demonstrate this novel methodology on various applications including image super-resolution, optimal filtering for state-space models and the refinement of pre-trained networks. Our code can be found at https://github.com/vdeborto/cdsb.