Stein Point Markov Chain Monte Carlo

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Wilson Ye Chen, Alessandro Barp, Francois-Xavier Briol, Jackson Gorham, Mark Girolami, Lester Mackey, Chris Oates ;
Proceedings of the 36th International Conference on Machine Learning, PMLR 97:1011-1021, 2019.

Abstract

An important task in machine learning and statistics is the approximation of a probability measure by an empirical measure supported on a discrete point set. Stein Points are a class of algorithms for this task, which proceed by sequentially minimising a Stein discrepancy between the empirical measure and the target and, hence, require the solution of a non-convex optimisation problem to obtain each new point. This paper removes the need to solve this optimisation problem by, instead, selecting each new point based on a Markov chain sample path. This significantly reduces the computational cost of Stein Points and leads to a suite of algorithms that are straightforward to implement. The new algorithms are illustrated on a set of challenging Bayesian inference problems, and rigorous theoretical guarantees of consistency are established.

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