We present the fundamentals of a measure transport approach to sampling. The idea is to construct a deterministic coupling---i.e., a transport map---between a complex "target" probability measure of interest and a simpler reference measure. Given a transport map, one can generate arbitrarily many independent and unweighted samples from the target simply by pushing forward reference samples through the map. We consider two different and complementary scenarios: first, when only evaluations of the unnormalized target density are available, and second, when the target distribution is known only through a finite collection of samples. We show that in both settings the desired transports can be characterized as the solutions of variational problems. We then address practical issues associated with the optimization--based construction of transports: choosing finite-dimensional parameterizations of the map, enforcing monotonicity, quantifying the error of approximate transports, and refining approximate transports by enriching the corresponding approximation spaces. Approximate transports can also be used to "Gaussianize" complex distributions and thus precondition conventional asymptotically exact sampling schemes. We place the measure transport approach in broader context, describing connections with other optimization--based samplers, with inference and density estimation schemes using optimal transport, and with alternative transformation--based approaches to simulation. We also sketch current work aimed at the construction of transport maps in high dimensions, exploiting essential features of the target distribution (e.g., conditional independence, low-rank structure). The approaches and algorithms presented here have direct applications to Bayesian computation and to broader problems of stochastic simulation.
A generative flow for conditional sampling via optimal transport
University of the Philippines Diliman（菲律宾大学迪里曼分校）；California Institute of Technology（加州理工学院）；Columbia University（哥伦比亚大学）；Baruch College（巴鲁克学院）；University of Edinburgh（爱丁堡大学）；Georgia Institute of Technology（佐治亚理工学院）；Grinnell College（格林内尔学院）；University of Michigan（密歇根大学）；Yale University（耶鲁大学）
Posterior Sampling with Denoising Oracles via Tilted Transport
Courant Institute of Mathematical Sciences, New York University（纽约大学柯朗数学科学研究所）；Center for Data Science, New York University（纽约大学数据科学中心）；Flatiron Institute（弗莱堡研究所）
