Stein variational gradient decent (SVGD) has been shown to be a powerful approximate inference algorithm for complex distributions. However, the standard SVGD requires calculating the gradient of the target density and cannot be applied when the gradient is unavailable. In this work, we develop a gradient-free variant of SVGD (GF-SVGD), which replaces the true gradient with a surrogate gradient, and corrects the induced bias by re-weighting the gradients in a proper form. We show that our GF-SVGD can be viewed as the standard SVGD with a special choice of kernel, and hence directly inherits the theoretical properties of SVGD. We shed insights on the empirical choice of the surrogate gradient and propose an annealed GF-SVGD that leverages the idea of simulated annealing to improve the performance on high dimensional complex distributions. Empirical studies show that our method consistently outperforms a number of recent advanced gradient-free MCMC methods.

本研究提出 Stein 变分梯度下降的变种分别采用代理梯度代替目标密度函数的真实梯度，并通过对梯度进行适当加权来纠正引入的偏差。同时，我们提出了一种基于模拟退火思想的 GF-SVGD，进一步提高了高维复杂分布的性能表现，并在经验研究中表明其性能优于一些最新的先进算法。

无梯度的斯坦变分梯度下降算法