Current density modeling approaches suffer from at least one of the following shortcomings: expensive training, slow inference, approximate likelihood, mode collapse or architectural constraints like bijective mappings. We propose a simple yet powerful framework that overcomes these limitations altogether. We define our model $q_θ(x)$ through a parametric distribution $q(x|w)$ with latent parameters $w$. Instead of directly optimizing the latent variables $w$, our idea is to marginalize them out by sampling $w$ from a learnable distribution $q_θ(w)$, hence the name Marginal Flow. In order to evaluate the learned density $q_θ(x)$ or to sample from it, we only need to draw samples from $q_θ(w)$, which makes both operations efficient. The proposed model allows for exact density evaluation and is orders of magnitude faster than competing models both at training and inference. Furthermore, Marginal Flow is a flexible framework: it does not impose any restrictions on the neural network architecture, it enables learning distributions on lower-dimensional manifolds (either known or to be learned), it can be trained efficiently with any objective (e.g. forward and reverse KL divergence), and it easily handles multi-modal targets. We evaluate Marginal Flow extensively on various tasks including synthetic datasets, simulation-based inference, distributions on positive definite matrices and manifold learning in latent spaces of images.

Deep generative networks such as GANs and normalizing flows flourish in the context of high-dimensional tasks such as image generation. However, so far exact modeling or extrapolation of distributional properties such as the tail asymptotics generated by a generative network is not available. In this paper, we address this issue for the first time in the deep learning literature by making two novel contributions. First, we derive upper bounds for the tails that can be expressed by a generative network and demonstrate Lp-space related properties. There we show specifically that in various situations an optimal generative network does not exist. Second, we introduce and propose copula and marginal generative flows (CM flows) which allow for an exact modeling of the tail and any prior assumption on the CDF up to an approximation of the uniform distribution. Our numerical results support the use of CM flows.