Deep operator learning for efficient sampling from invariant measures of stochastic differential equations (arxiv.org)
arXiv:2609.11376v1 Announce Type: cross
Abstract: We introduce an amortized neural sampler that combines operator learning with flow methods for sampling. It maps SDE coefficient functions to pushforwards from a reference measure to the invariant measures, enabling efficient sampling across families of stochastic differential equations. Our framework shifts traditional sampling cost to an initial training phase, after which new SDE instances require only one encoder pass and a few ODE solver steps, independent of mixing time. To handle problems in high dimensions, we use Lagrangian trajectory sensors for the coefficient functions and cross attention in the architecture. We also theoretically establish the expressivity and resolution invariance of our framework. Experiments on 1D and 2D SDE families show competitive accuracy with substantial speedups over MCMC in regimes with slow mixing, transfer across sensor counts, and demonstration results on a 64D interacting particle SDE where traditional grid approaches are infeasible.
Abstract: We introduce an amortized neural sampler that combines operator learning with flow methods for sampling. It maps SDE coefficient functions to pushforwards from a reference measure to the invariant measures, enabling efficient sampling across families of stochastic differential equations. Our framework shifts traditional sampling cost to an initial training phase, after which new SDE instances require only one encoder pass and a few ODE solver steps, independent of mixing time. To handle problems in high dimensions, we use Lagrangian trajectory sensors for the coefficient functions and cross attention in the architecture. We also theoretically establish the expressivity and resolution invariance of our framework. Experiments on 1D and 2D SDE families show competitive accuracy with substantial speedups over MCMC in regimes with slow mixing, transfer across sensor counts, and demonstration results on a 64D interacting particle SDE where traditional grid approaches are infeasible.
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