Weak Generative Sampler to Efficiently Sample Invariant Distribution of Stochastic Differential Equation

Abstract: Sampling invariant distributions from an It^o diffusion process presents a significant challenge in stochastic simulation. Traditional numerical solvers for stochastic differential equations require both a fine step size and a lengthy simulation period, resulting in biased and correlated samples. The current deep learning-based method solves the stationary Fokker--Planck equation to determine the invariant probability density function in the form of deep neural networks, but they generally do not directly address the problem of sampling from the computed density function. In this work, we introduce a framework that employs a weak generative sampler (WGS) to directly generate independent and identically distributed (iid) samples induced by a transformation map derived from the stationary Fokker--Planck equation. Our proposed loss function is based on the weak form of the Fokker--Planck equation, integrating normalizing flows to characterize the invariant distribution and facilitate sample generation from a base distribution. Our randomized test function circumvents the need for min-max optimization in the traditional weak formulation. Our method necessitates neither the computationally intensive calculation of the Jacobian determinant nor the invertibility of the transformation map. A crucial component of our framework is the adaptively chosen family of test functions in the form of Gaussian kernel functions with centers related to the generated data samples. Experimental results on several benchmark examples demonstrate the effectiveness and scalability of our method, which offers both low computational costs and excellent capability in exploring multiple metastable states.