Gradient Boosted Flows

Normalizing flows (NF) are a powerful framework for approximating posteriors. By mapping a simple base density through invertible transformations, flows provide an exact method of density evaluation and sampling. The trend in normalizing flow literature has been to devise deeper, more complex transformations to achieve greater flexibility. We propose an alternative: Gradient Boosted Flows (GBF) model a variational posterior by successively adding new NF components by gradient boosting so that each new NF component is fit to the residuals of the previously trained components. The GBF formulation results in a variational posterior that is a mixture model, whose flexibility increases as more components are added. Moreover, GBFs offer a wider, not deeper, approach that can be incorporated to improve the results of many existing NFs. We demonstrate the effectiveness of this technique for density estimation and, by coupling GBF with a variational autoencoder, generative modeling of images.