Robust Online Sampling from Possibly Moving Target Distributions

Abstract: We suppose we are given a list of points $x_1, \dots, x_n \in \mathbb{R}$, a target probability measure $\mu$ and are asked to add additional points $x_{n+1}, \dots, x_{n+m}$ so that $x_1, \dots, x_{n+m}$ is as close as possible to the distribution of $\mu$; additionally, we want this to be true uniformly for all $m$. We propose a simple method that achieves this goal. It selects new points in regions where the existing set is lacking points and avoids regions that are already overly crowded. If we replace $\mu$ by another measure $\mu_2$ in the middle of the computation, the method dynamically adjusts and allows us to keep the original sampling points. $x_{n+1}$ can be computed in $\mathcal{O}(n)$ steps and we obtain state-of-the-art results. It appears to be an interesting dynamical system in its own right; we analyze a continuous mean-field version that reflects much of the same behavior.