Ancestral Gumbel-Top-k Sampling for Sampling Without Replacement
Wouter Kool, Herke van Hoof, Max Welling; 21(47):1−36, 2020.
We develop ancestral Gumbel-Top-$k$ sampling: a generic and efficient method for sampling without replacement from discrete-valued Bayesian networks, which includes multivariate discrete distributions, Markov chains and sequence models. The method uses an extension of the Gumbel-Max trick to sample without replacement by finding the top $k$ of perturbed log-probabilities among all possible configurations of a Bayesian network. Despite the exponentially large domain, the algorithm has a complexity linear in the number of variables and sample size $k$. Our algorithm allows to set the number of parallel processors $m$, to trade off the number of iterations versus the total cost (iterations times $m$) of running the algorithm. For $m = 1$ the algorithm has minimum total cost, whereas for $m = k$ the number of iterations is minimized, and the resulting algorithm is known as Stochastic Beam Search. We provide extensions of the algorithm and discuss a number of related algorithms. We analyze the properties of Gumbel-Top-$k$ sampling and compare against alternatives on randomly generated Bayesian networks with different levels of connectivity. In the context of (deep) sequence models, we show its use as a method to generate diverse but high-quality translations and statistical estimates of translation quality and entropy.
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