A-NICE-MC: Adversarial Training for MCMC

Existing Markov Chain Monte Carlo (MCMC) methods are either based on generalpurpose and domain-agnostic schemes, which can lead to slow convergence, or problem-specific proposals hand-crafted by an expert. In this paper, we propose ANICE-MC, a novel method to automatically design efficient Markov chain kernels tailored for a specific domain. First, we propose an efficient likelihood-free adversarial training method to train a Markov chain and mimic a given data distribution. Then, we leverage flexible volume preserving flows to obtain parametric kernels for MCMC. Using a bootstrap approach, we show how to train efficient Markov chains to sample from a prescribed posterior distribution by iteratively improving the quality of both the model and the samples. Empirical results demonstrate that A-NICE-MC combines the strong guarantees of MCMC with the expressiveness of deep neural networks, and is able to significantly outperform competing methods such as Hamiltonian Monte Carlo.