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Inference via low-dimensional couplings Marzouk, Youssef

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Integration against an intractable probability measure is among the fundamental challenges of statistical inference, particularly in the Bayesian setting. A principled approach to this problem seeks a deterministic coupling of the measure of interest with a tractable "reference" measure (e.g., a standard Gaussian). This coupling is induced by a transport map, and enables direct simulation from the desired measure simply by evaluating the transport map at samples from the reference. Yet characterizing such a map---e.g., representing, constructing, and evaluating it---grows challenging in high dimensions. We use the conditional independence structure of the target measure to establish the existence of certain low-dimensional couplings, induced by transport maps that are sparse or decomposable. We also describe conditions, common in Bayesian inverse problems, under which transport maps have a particular low-rank structure. Our analysis not only facilitates the construction of couplings in high-dimensional settings, but also suggests new inference methodologies. For instance, in the context of nonlinear and non-Gaussian state space models, we will describe new variational algorithms for nonlinear smoothing and sequential parameter estimation. We will also outline a new class of nonlinear filters induced by local couplings, for inference in high-dimensional spatiotemporal processes with chaotic dynamics. This is joint work with Alessio Spantini and Daniele Bigoni.

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