An approximation theory framework for measure-transport sampling algorithms

Abstract:

This article presents a general approximation-theoretic framework to analyze measure transport algorithms for probabilistic modeling. A primary motivating application for such algorithms is sampling—a central task in statistical inference and generative modeling. We provide a priori error estimates in the continuum limit, i.e., when the measures (or their densities) are given, but when the transport map is discretized or approximated using a finite-dimensional function space. Our analysis relies on the regularity theory of transport maps and on classical approximation theory for high-dimensional functions. A third element of our analysis, which is of independent interest, is the development of new stability estimates that relate the distance between two maps to the distance (or divergence) between the pushforward measures they define. We present a series of applications of our framework, where quantitative convergence rates are obtained for practical problems using Wasserstein metrics, maximum mean discrepancy, and Kullback–Leibler divergence. Specialized rates for approximations of the popular triangular Knöthe–Rosenblatt maps are obtained, followed by numerical experiments that demonstrate and extend our theory.