Score functions and principal flows

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Score functions and principal flows

The score function for a probability distribution is defined as the gradient of the log density, i.e., \(\nabla_z \log p(x),\) which for a generative model requires us to deploy the chain rule to calculate it. In the case of a Gaussian, this gives rise to interesting geometric properties in the optimum.

Assume a Gaussian density centered around the reconstructed sample as mean $\mu$ and covariance $\Sigma$: \(p(x) = \frac{1}{(2\pi)^{d/2}|\Sigma|^{1/2}} \exp\left(-\frac{1}{2}(x-\mu)^\top\Sigma^{-1}(x-\mu)\right),\) where $d$ is the dimension of both $z,x$. Let a neural network decode the latent $z$ to $\hat{x}$: \(\mu = f(z),\) where $f$ is a differentiable function. The score function is then given by \(\nabla_{z} \log p(x) \propto \nabla_{z} \left(-\frac{1}{2}(x- f(z))^\top\Sigma^{-1}(x- f(z))\right) = \dfrac{\partial}{\partial f(z)}\dfrac{\partial f(z)}{\partial z} \left(-\frac{1}{2}(x- f(z))^\top\Sigma^{-1}(x- f(z))\right) \\ = -\dfrac{\partial f}{\partial z}^\top\Sigma^{-1}(x- f(z)).\)

Assuming that the objective is to maximize the log-likelihood $\log p(x)$ (by abusing notation; it should be about the reconstructed samples, i.e., the output of $f$, which we might call $\hat{x}$) by learning a latent representation from the data samples by learning a “good” generative model $f$, then the gradient needs to be zero. That is, we start from observations $x$ and we want to find the latent representation $z$ that maximizes the log-likelihood. E.g., with a VAE-like model.

At the optimum (maximizing the score) the reconstruction error vector $\varepsilon = x - f(z)$ needs to be orthogonal to the Jacobian columns ($\forall i:[J_f]{:, i}$) w.r.t the weighted norm with $\Sigma$. If, as is the general case, $\Sigma$ is diagonal, then $\forall i: \varepsilon \perp [J_f]$.

This is similar to the notion of principal manifolds in (Cunningham et al., 2022), where is the noiseless limit, the Jacobian of the generative model describes the principal directions of the manifold. Of course, this depends on the density; nonetheless, it might be interesting the implications of this observation.