Efficient CDF Approximations for Normalizing Flows
This work addresses a specific inference problem in probabilistic modeling, offering an incremental improvement for researchers and practitioners using normalizing flows.
The paper tackled the challenge of computing cumulative distribution functions (CDFs) over complex regions for normalizing flows, resulting in a new estimator that improves sample efficiency compared to traditional Monte-Carlo methods, as demonstrated on UCI benchmark datasets.
Normalizing flows model a complex target distribution in terms of a bijective transform operating on a simple base distribution. As such, they enable tractable computation of a number of important statistical quantities, particularly likelihoods and samples. Despite these appealing properties, the computation of more complex inference tasks, such as the cumulative distribution function (CDF) over a complex region (e.g., a polytope) remains challenging. Traditional CDF approximations using Monte-Carlo techniques are unbiased but have unbounded variance and low sample efficiency. Instead, we build upon the diffeomorphic properties of normalizing flows and leverage the divergence theorem to estimate the CDF over a closed region in target space in terms of the flux across its \emph{boundary}, as induced by the normalizing flow. We describe both deterministic and stochastic instances of this estimator: while the deterministic variant iteratively improves the estimate by strategically subdividing the boundary, the stochastic variant provides unbiased estimates. Our experiments on popular flow architectures and UCI benchmark datasets show a marked improvement in sample efficiency as compared to traditional estimators.