Reducing normalizing flow complexity for MCMC preconditioning

Abstract: Preconditioning is a key component of MCMC algorithms that improves sampling efficiency by facilitating exploration of geometrically complex target distributions through an invertible map. While linear preconditioners are often sufficient for moderately complex target distributions, recent work has explored nonlinear preconditioning with invertible neural networks as components of normalizing flows (NFs). However, empirical and theoretical studies show that overparameterized NF preconditioners can degrade sampling efficiency and fit quality. Moreover, existing NF-based approaches do not adapt their architectures to the target distribution. Related work outside of MCMC similarly finds that suitably parameterized NFs can achieve comparable or superior performance with substantially less training time or data. We propose a factorized preconditioning architecture that reduces NF complexity by combining a linear component with a conditional NF, improving adaptability to target geometry. The linear preconditioner is applied to dimensions that are approximately Gaussian, as estimated from warmup samples, while the conditional NF models more complex dimensions. Our method yields significantly better tail samples on two complex synthetic distributions and consistently better performance on a sparse logistic regression posterior across varying likelihood and prior strengths. It also achieves higher effective sample sizes on hierarchical Bayesian model posteriors with weak likelihoods and strong funnel geometries. This approach is particularly relevant for hierarchical Bayesian model analyses with limited data and could inform current theoretical and software strides in neural MCMC design.