Transformed Samplers with Variance Reduction
Read the original on arXiv Machine Learning →The paper introduces Transformed Samplers with Variance Reduction, a method that extends exact control variate solutions from simple reference densities to general target distributions by learning a bijective change of variables, such as a normalizing flow. By training the flow to map the target close to the reference in latent space, the authors show that Markov kernels and their Poisson solutions transform accordingly, enabling explicit control variates in the latent space. The resulting estimator is consistent under mild tail conditions, and the approach also applies to importance sampling, with experiments demonstrating competitive performance against state‑of‑the‑art samplers and control variates.
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