Optimal Transport for Sampling

Christopher Aicher

EE 546 Project - Spring 2016

Background

See Marzouk, Youseef, et al. An introduction to sampling via measure transport. 2016

Code Layout

• optimizer.py - main optimization algorithm
• sgd.py - Stochastic Gradient Descent (Adagrad + Decaying)
• transport_map.py - transport map
• basis.py - lower-triangular basis functions (Hermite)
• target_models.py - Bayesian Linear + Logistic Regression (approximation)