Geometry-Aware Score-Repellent Monte Carlo

Jie Hu, Lingyun Chen, Do Young Eun

The recently proposed Score-Repellent Monte Carlo (SRMC) method improves MCMC sampling by tilting the target density $π$ in $\mathbb{R}^d$ with the factor $\exp(-α\,θ_n^\top s(x))$, where the score function $s(x) = \nabla_x \log π(x)$, and $θ_n$ is the score average from past samples. However, a single scalar repellence strength $α\ge0$ cannot handle both the steep and the flat directions in anisotropic energy landscapes at once. We introduce \emph{Geometry-Aware SRMC} (GA-SRMC), which generalizes the Euclidean alignment to $θ^\top M s(x)$ for any symmetric positive-definite matrix $M$. A stochastic-approximation central limit theorem under a trace constraint on $M$ identifies the trace-normalized inverse Fisher $M_{\rm opt}\propto S^{-1}$ as the unique minimizer of the worst-direction covariance bound, elevating the Fisher information $S=\text{Cov}_π(s,s)$ from a proposal-side preconditioner (e.g., FisherMALA, natural gradient) to the bound-optimal repulsion-side matrix, with a single online estimate $\widehat S_n$ serving both roles at no additional computational cost. The full-Fisher online metric $M_n$ converges almost surely to $M_{\rm opt}$ and satisfies a CLT, providing a…