The Power Spherical distribution
This addresses a bottleneck for researchers and practitioners using probabilistic models in hyper-spherical spaces, offering a more efficient alternative for applications like variational auto-encoders.
The authors tackled the problem of slow and numerically unstable sampling from the von Mises-Fisher distribution on hyper-spheres by proposing the Power Spherical distribution, which improves scalability and stability while retaining key properties like known KL divergence.
There is a growing interest in probabilistic models defined in hyper-spherical spaces, be it to accommodate observed data or latent structure. The von Mises-Fisher (vMF) distribution, often regarded as the Normal distribution on the hyper-sphere, is a standard modeling choice: it is an exponential family and thus enjoys important statistical results, for example, known Kullback-Leibler (KL) divergence from other vMF distributions. Sampling from a vMF distribution, however, requires a rejection sampling procedure which besides being slow poses difficulties in the context of stochastic backpropagation via the reparameterization trick. Moreover, this procedure is numerically unstable for certain vMFs, e.g., those with high concentration and/or in high dimensions. We propose a novel distribution, the Power Spherical distribution, which retains some of the important aspects of the vMF (e.g., support on the hyper-sphere, symmetry about its mean direction parameter, known KL from other vMF distributions) while addressing its main drawbacks (i.e., scalability and numerical stability). We demonstrate the stability of Power Spherical distributions with a numerical experiment and further apply it to a variational auto-encoder trained on MNIST. Code at: https://github.com/nicola-decao/power_spherical