Normalizing flows are popular generative learning methods that train an invertible function to transform a simple prior distribution into a complicated target distribution. Here we generalize the framework by introducing Stochastic Normalizing Flows (SNF) - an arbitrary sequence of deterministic invertible functions and stochastic processes such as Markov Chain Monte Carlo (MCMC) or Langevin Dynamics. This combination can be powerful as adding stochasticity to a flow helps overcoming expressiveness limitations of a chosen deterministic invertible function, while the trainable flow transformations can improve the sampling efficiency over pure MCMC. Key to our approach is that we can match a marginal target density without having to marginalize out the stochasticity of traversed paths. Invoking ideas from nonequilibrium statistical mechanics, we introduce a training method that only uses conditional path probabilities. We can turn an SNF into a Boltzmann Generator that samples asymptotically unbiased from a given target density by importance sampling of these paths. We illustrate the representational power, sampling efficiency and asymptotic correctness of SNFs on several benchmarks.
Speakers: Hao Wu, Jonas Köhler, Frank Noe