We introduce a suite of new particle-based algorithms for sampling on constrained domains which are entirely learning rate free. Our approach leverages coin betting ideas from convex optimisation, and the viewpoint of constrained sampling as a mirrored optimisation problem on the space of probability measures. Based on this viewpoint, we also introduce a unifying framework for several existing constrained sampling algorithms, including mirrored Langevin dynamics and mirrored Stein variational gradient descent. We demonstrate the performance of our algorithms on a range of numerical examples, including sampling from targets on the simplex, sampling with fairness constraints, and constrained sampling problems in post-selection inference. Our results indicate that our algorithms achieve competitive performance with existing constrained sampling methods, without the need to tune any hyperparameters.<\/p>\n","protected":false},"excerpt":{"rendered":"
We introduce a suite of new particle-based algorithms for sampling on constrained domains which are entirely learning rate free. Our approach leverages coin betting ideas from convex optimisation, and the viewpoint of constrained sampling as a mirrored optimisation problem on the space of probability measures. Based on this viewpoint, we also introduce a unifying framework […]<\/p>\n","protected":false},"featured_media":0,"template":"","meta":{"msr-url-field":"","msr-podcast-episode":"","msrModifiedDate":"","msrModifiedDateEnabled":false,"ep_exclude_from_search":false,"_classifai_error":"","footnotes":""},"msr-content-type":[3],"msr-research-highlight":[],"research-area":[13556],"msr-publication-type":[193716],"msr-product-type":[],"msr-focus-area":[],"msr-platform":[],"msr-download-source":[],"msr-locale":[268875],"msr-post-option":[],"msr-field-of-study":[246685],"msr-conference":[259048],"msr-journal":[],"msr-impact-theme":[264846],"msr-pillar":[],"class_list":["post-974901","msr-research-item","type-msr-research-item","status-publish","hentry","msr-research-area-artificial-intelligence","msr-locale-en_us","msr-field-of-study-machine-learning"],"msr_publishername":"","msr_edition":"","msr_affiliation":"","msr_published_date":"2023-5-24","msr_host":"","msr_duration":"","msr_version":"","msr_speaker":"","msr_other_contributors":"","msr_booktitle":"","msr_pages_string":"","msr_chapter":"","msr_isbn":"","msr_journal":"","msr_volume":"","msr_number":"","msr_editors":"","msr_series":"","msr_issue":"","msr_organization":"","msr_how_published":"","msr_notes":"","msr_highlight_text":"","msr_release_tracker_id":"","msr_original_fields_of_study":"","msr_download_urls":"","msr_external_url":"","msr_secondary_video_url":"","msr_longbiography":"","msr_microsoftintellectualproperty":1,"msr_main_download":"","msr_publicationurl":"","msr_doi":"","msr_publication_uploader":[{"type":"url","viewUrl":"false","id":"false","title":"https:\/\/arxiv.org\/abs\/2305.14943","label_id":"243109","label":0}],"msr_related_uploader":"","msr_attachments":[],"msr-author-ordering":[{"type":"user_nicename","value":"Lester Mackey","user_id":36161,"rest_url":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/microsoft-research\/v1\/researchers?person=Lester Mackey"},{"type":"text","value":"Louis Sharrock","user_id":0,"rest_url":false},{"type":"text","value":"Christopher Nemeth","user_id":0,"rest_url":false}],"msr_impact_theme":["Computing foundations"],"msr_research_lab":[],"msr_event":[968280],"msr_group":[],"msr_project":[],"publication":[],"video":[],"download":[],"msr_publication_type":"inproceedings","related_content":[],"_links":{"self":[{"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-research-item\/974901"}],"collection":[{"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-research-item"}],"about":[{"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/types\/msr-research-item"}],"version-history":[{"count":1,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-research-item\/974901\/revisions"}],"predecessor-version":[{"id":974904,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-research-item\/974901\/revisions\/974904"}],"wp:attachment":[{"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/media?parent=974901"}],"wp:term":[{"taxonomy":"msr-content-type","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-content-type?post=974901"},{"taxonomy":"msr-research-highlight","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-research-highlight?post=974901"},{"taxonomy":"msr-research-area","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/research-area?post=974901"},{"taxonomy":"msr-publication-type","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-publication-type?post=974901"},{"taxonomy":"msr-product-type","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-product-type?post=974901"},{"taxonomy":"msr-focus-area","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-focus-area?post=974901"},{"taxonomy":"msr-platform","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-platform?post=974901"},{"taxonomy":"msr-download-source","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-download-source?post=974901"},{"taxonomy":"msr-locale","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-locale?post=974901"},{"taxonomy":"msr-post-option","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-post-option?post=974901"},{"taxonomy":"msr-field-of-study","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-field-of-study?post=974901"},{"taxonomy":"msr-conference","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-conference?post=974901"},{"taxonomy":"msr-journal","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-journal?post=974901"},{"taxonomy":"msr-impact-theme","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-impact-theme?post=974901"},{"taxonomy":"msr-pillar","embeddable":true,"href":"https:\/\/www.microsoft.com\/en-us\/research\/wp-json\/wp\/v2\/msr-pillar?post=974901"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}