Efficient Learning of Generative Models via Finite-Difference Score Matching

Several machine learning applications involve the optimization of higher-order derivatives (e.g., gradients of gradients) during training, which can be expensive with respect to memory and computation even with automatic differentiation. As a typical example in generative modeling, score matching (SM) involves the optimization of the trace of a Hessian. To improve computing efficiency, we rewrite the SM objective and its variants in terms of directional derivatives, and present a generic strategy to efficiently approximate any-order directional derivative with finite difference (FD). Our approximation only involves function evaluations, which can be executed in parallel, and no gradient computations. Thus, it reduces the total computational cost while also improving numerical stability.