Monte Carlo with determinantal processes [reply from the authors]

[Rémi Bardenet and Adrien Hardy have written a reply to my comments of today on their paper, which is more readable as a post than as comments, so here it is. I appreciate the intention, as well as the perfect editing of the reply, suited for a direct posting!]

Thanks for your comments, Xian. As a foreword, a few people we met also had the intuition that DPPs would be relevant for Monte Carlo, but no result so far was backing this claim. As it turns out, we had to work hard to prove a CLT for importance-reweighted DPPs, using some deep recent results on orthogonal polynomials. We are currently working on turning this probabilistic result into practical algorithms. For instance, efficient sampling of DPPs is indeed an important open question, to which most of your comments refer. Although this question is out of the scope of our paper, note however that our results do not depend on how you sample. Efficient sampling of DPPs, along with other natural computational questions, is actually the crux of an ANR grant we just got, so hopefully in a few years we can write a more detailed answer on this blog! We now answer some of your other points.

“one has to examine the conditions for the result to operate, from the support being within the unit hypercube,”
Any compactly supported measure would do, using dilations, for instance. Note that we don’t assume the support is the whole hypercube.

“to the existence of N orthogonal polynomials wrt the dominating measure, not discussed here”
As explained in Section 2.1.2, it is enough that the reference measure charges some open set of the hypercube, which is for instance the case if it has a density with respect to the Lebesgue measure.

“to the lack of relation between the point process and the integrand,”
Actually, our method depends heavily on the target measure μ. Unlike vanilla QMC, the repulsiveness between the quadrature nodes is tailored to the integration problem.

“changing N requires a new simulation of the entire vector unless I missed the point.”
You’re absolutely right. This is a well-known open issue in probability, see the discussion on Terence Tao’s blog.

“This requires figuring out the upper bounds on the acceptance ratios, a “problem-dependent” request that may prove impossible to implement”
We agree that in general this isn’t trivial. However, good bounds are available for all Jacobi polynomials, see Section 3.

“Even without this stumbling block, generating the N-sized sample for dimension d=N (why d=N, I wonder?)”
This is a misunderstanding: we do not say that d=N in any sense. We only say that sampling from a DPP using the algorithm of [Hough et al] requires the same number of operations as orthonormalizing N vectors of dimension N, hence the cubic cost.

1. “how does it relate to quasi-Monte Carlo?”
So far, the connection to QMC is only intuitive: both rely on well-spaced nodes, but using different mathematical tools.

2. “the marginals of the N-th order determinantal process are far from uniform (see Fig. 1), and seemingly concentrated on the boundaries”
This phenomenon is due to orthogonal polynomials. We are investigating more general constructions that give more flexibility.

3. “Is the variance of the resulting estimator (2.11) always finite?”
Yes. For instance, this follows from the inequality below (5.56) since ƒ(x)/K(x,x) is Lipschitz.

4. and 5. We are investigating concentration inequalities to answer these points.

6. “probabilistic numerics produce an epistemic assessment of uncertainty, contrary to the current proposal.”
A partial answer may be our Remark 2.12. You can interpret DPPs as putting a Gaussian process prior over ƒ and sequentially sampling from the posterior variance of the GP.

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