Semi-Empirical Objective Functions for MCMC Proposal Optimization
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We introduce and demonstrate a semi-empirical procedure for determining approximate objective functions suitable for optimizing arbitrarily parameterized proposal distributions in MCMC methods. Our proposed Ab Initio objective functions consist of the weighted combination of functions following constraints on their global optima and of coordinate invariance that we argue should be upheld by general measures of MCMC efficiency for use in proposal optimization. The coefficients of Ab Initio objective functions are determined so as to recover the optimal MCMC behavior prescribed by established theoretical analysis for chosen reference problems. Our experimental results demonstrate that Ab Initio objective functions maintain favorable performance and preferable optimization behavior compared to existing objective functions for MCMC optimization when optimizing highly expressive proposal distributions. We argue that Ab Initio objective functions are sufficiently robust to enable the confident optimization of MCMC proposal distributions parameterized by deep generative networks that extend beyond the traditional limitations of individual MCMC schemes.
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