Score-Repellent Monte Carlo: Toward Efficient Non-Markovian Sampler with Constant Memory in General State Spaces
Jie Hu, Lingyun Chen, Geeho Kim, Jinyoung Choi, Bohyung Han, Do-Young Eun
摘要
History-dependent sampling can reduce long-run Monte Carlo variance by discouraging redundant revisits, but existing schemes typically encode history through empirical measure on finite state spaces, which is infeasible in high-dimensional discrete configuration spaces or ill-posed in continuous domains. We propose Score-Repellent Monte Carlo (SRMC) framework that summarizes trajectory history by a running average of score evaluations in R d , where d is the dimension of the score and state representation. This history is converted into a surrogate target through an exponential score tilt, indexed with α that represents the strength of repellence in controlling the magnitude of the history-based repulsion. The surrogate family is normalization-free in the standard MCMC sense, yielding a generic wrapper: at each iteration, any base kernel targeting π can instead be run on the current surrogate π θn while the history is updated online. We analyze the coupled evolution of the history recursion and Monte Carlo estimators using stochastic approximation with controlled Markovian noise, establishing almost sure convergence and a joint central limit theorem. We further identify regimes in which the asymptotic covariance decreases as α increases, with scaling O(1/α), extending the near-zero-variance effect of finite-state historydependent samplers to general state spaces with constant memory. Experiments on continuous targets and discrete energy-based models demonstrate improved estimator variance and mode coverage, while retaining O(d) memory usage and modest per-iteration overhead.
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