i-flow: High-dimensional Integration and Sampling with Normalizing Flows

Abstract

In many fields of science, high-dimensional integration is required. Numerical methods have been developed to evaluate these complex integrals. We introduce the code i-flow, a python package that performs high-dimensional numerical integration utilizing normalizing flows. Normalizing flows are machine-learned, bijective mappings between two distributions. i-flow can also be used to sample random points according to complicated distributions in high dimensions. We compare i-flow to other algorithms for high-dimensional numerical integration and show that i-flow outperforms them for high dimensional correlated integrals. The i-flow code is publicly available on gitlab at https://gitlab.com/i-flow/i-flow.

21 pages, 5 figures, 4 tables; v2: improved presentation and discussion, matches published version. Mach. Learn.: Sci. Technol (2020)