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Simulating infinite-dimensional nonlinear diffusion bridges (2405.18353v2)

Published 28 May 2024 in cs.LG and stat.ML

Abstract: The diffusion bridge is a type of diffusion process that conditions on hitting a specific state within a finite time period. It has broad applications in fields such as Bayesian inference, financial mathematics, control theory, and shape analysis. However, simulating the diffusion bridge for natural data can be challenging due to both the intractability of the drift term and continuous representations of the data. Although several methods are available to simulate finite-dimensional diffusion bridges, infinite-dimensional cases remain unresolved. In the paper, we present a solution to this problem by merging score-matching techniques with operator learning, enabling a direct approach to score-matching for the infinite-dimensional bridge. We construct the score to be discretization invariant, which is natural given the underlying spatially continuous process. We conduct a series of experiments, ranging from synthetic examples with closed-form solutions to the stochastic nonlinear evolution of real-world biological shape data, and our method demonstrates high efficacy, particularly due to its ability to adapt to any resolution without extra training.

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Summary

  • The paper introduces an infinite-dimensional Doob's h-transform that integrates score-matching with neural operators to simulate nonlinear diffusion bridges.
  • It employs time-reversal of diffusion bridges along with a continuous Fourier neural operator architecture to simplify the sampling of complex stochastic processes.
  • Numerical experiments confirm the resolution invariance of the approach, showcasing applications in biological shape evolution and financial modeling.

Simulating Infinite-Dimensional Nonlinear Diffusion Bridges Using Score-Matching

The paper addresses the challenge of simulating infinite-dimensional nonlinear diffusion bridges by leveraging score-matching techniques integrated with operator learning. Diffusion bridges are diffusion processes conditioned on reaching a specific state within a finite time and have widespread relevance across Bayesian inference, financial mathematics, control theory, and shape analysis. While simulating finite-dimensional diffusion bridges is a well-trodden path, the extension to infinite dimensions has remained an unresolved issue due to the intractability of the drift term and the continuous nature of the data.

Methodological Contributions

The authors propose a novel framework for simulating infinite-dimensional nonlinear diffusion bridges. The approach utilizes the theory of infinite-dimensional Doob's hh-transform to condition an unconditional stochastic differential equation (SDE) on hitting a terminal state. This transformation is typically referred to as a diffusion bridge.

Key Innovations:

  1. Infinite-Dimensional Doob's hh-transform for Nonlinear Processes: The paper extends existing methodologies to include infinite-dimensional settings by merging score-matching techniques with operator learning. The drift term, introduced by the Doob's hh-transform, is learned using a time-dependent neural operator. This allows the simulation of an infinite-dimensional process directly, providing resolution-invariant and memory-efficient attributes.
  2. Time-Reversal of Diffusion Bridges: The authors utilize the time-reversal theorem for stochastic processes to reverse the direction of the diffusion bridge, converting the problem of simulating a forward bridge into a tractable reverse-time process. This reversal simplifies the additional drift term, facilitating easier sampling from an unconditional process.
  3. Neural Operator Architecture: To approximate the drift operator in the time-reversed bridge, a time-dependent continuous Fourier neural operator (CTFNO) architecture is employed. This structure combines elements from Fourier time modulation and U-shaped neural operator designs, ensuring discretization invariance and efficient computation.
  4. Loss Function and Learning: The score-matching loss function is derived from the KL divergence between the true and estimated bridges. This function ensures that the learned drift term minimizes the divergence between the simulated and the actual process.

Numerical Experiments

The experimental section showcases the efficacy of the proposed method through a series of simulations:

  1. Functional Brownian Bridges: The authors demonstrate the method on quadratic functions and circles, showing that the learned bridges are consistent with the true Brownian bridges across different discretizations. This validates the resolution-invariant property of the neural operator.
  2. Biological Shape Evolution: The method is applied to the stochastic modeling of butterfly morphometry transitions. The neural operator is trained on a low-resolution grid and evaluated on higher-resolution grids, successfully capturing the underlying biological shapes in a discretization-invariant manner. This highlights the practical significance of the framework in phylogenetic analysis.

For example, the bridge between two butterfly shapes (Papilio polytes and Parnassius honrathi) was simulated, and the results showed that the method could adapt to various levels of landmark discretization without requiring retraining.

Implications and Future Directions

The paper has significant theoretical and practical implications. By addressing the challenge of infinite-dimensional nonlinear diffusion bridges, the proposed framework extends the applicability of diffusion models to a broader range of continuous data types. This opens new pathways in fields such as evolutionary biology, where shape and morphological data are naturally continuous and high-dimensional.

Practical Implications:

The ability to simulate infinite-dimensional diffusion bridges has practical benefits in computational efficiency and generalization. Applications in financial mathematics, for instance, could leverage these techniques for more accurate modeling of asset prices and risk assessment.

Theoretical Implications:

From a theoretical perspective, the work contributes to the understanding of stochastic processes in infinite-dimensional spaces. The incorporation of the infinite-dimensional Doob's hh-transform and time-reversal methods into score-matching paradigms provides new tools for probabilistic modeling and inference.

Future Developments:

Future research could focus on refining the neural operator architectures for even greater efficiency and exploring the application of this framework to other types of continuous data. Further, the integration of additional statistical and machine learning techniques could enhance the robustness and accuracy of the modeled processes.

In summary, this paper presents a comprehensive solution to simulating infinite-dimensional nonlinear diffusion bridges, advancing both the methodology and application of diffusion processes in continuous spaces. The methodological rigor and practical demonstrations underscore the potential for broad applications and future explorations in various scientific domains.

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