Revisiting Score Function Estimators for $k$-Subset Sampling
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866929461577908224 |
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| author | Wijk, Klas Vinuesa, Ricardo Azizpour, Hossein |
| author_facet | Wijk, Klas Vinuesa, Ricardo Azizpour, Hossein |
| contents | Are score function estimators an underestimated approach to learning with $k$-subset sampling? Sampling $k$-subsets is a fundamental operation in many machine learning tasks that is not amenable to differentiable parametrization, impeding gradient-based optimization. Prior work has focused on relaxed sampling or pathwise gradient estimators. Inspired by the success of score function estimators in variational inference and reinforcement learning, we revisit them within the context of $k$-subset sampling. Specifically, we demonstrate how to efficiently compute the $k$-subset distribution's score function using a discrete Fourier transform, and reduce the estimator's variance with control variates. The resulting estimator provides both exact samples and unbiased gradient estimates while also applying to non-differentiable downstream models, unlike existing methods. Experiments in feature selection show results competitive with current methods, despite weaker assumptions. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2407_16058 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Revisiting Score Function Estimators for $k$-Subset Sampling Wijk, Klas Vinuesa, Ricardo Azizpour, Hossein Machine Learning Are score function estimators an underestimated approach to learning with $k$-subset sampling? Sampling $k$-subsets is a fundamental operation in many machine learning tasks that is not amenable to differentiable parametrization, impeding gradient-based optimization. Prior work has focused on relaxed sampling or pathwise gradient estimators. Inspired by the success of score function estimators in variational inference and reinforcement learning, we revisit them within the context of $k$-subset sampling. Specifically, we demonstrate how to efficiently compute the $k$-subset distribution's score function using a discrete Fourier transform, and reduce the estimator's variance with control variates. The resulting estimator provides both exact samples and unbiased gradient estimates while also applying to non-differentiable downstream models, unlike existing methods. Experiments in feature selection show results competitive with current methods, despite weaker assumptions. |
| title | Revisiting Score Function Estimators for $k$-Subset Sampling |
| topic | Machine Learning |
| url | https://arxiv.org/abs/2407.16058 |