A plethora of problems in AI, engineering and the sciences are naturally formalized as inference in discrete probabilistic models. Exact inference is often prohibitively expensive, as it may require evaluating the (unnormalized) target density on its entire domain. Here we consider the setting where only a limited budget of calls to the unnormalized density oracle is available, raising the challenge of where in the domain to allocate these function calls in order to construct a good approximate solution. We formulate this problem as an instance of sequential decision-making under uncertainty and leverage methods from reinforcement learning for probabilistic inference with budget constraints. In particular, we propose the TreeSample algorithm, an adaptation of Monte Carlo Tree Search to approximate inference. This algorithm caches all previous queries to the density oracle in an explicit search tree, and dynamically allocates new queries based on a best-first heuristic for exploration, using existing upper confidence bound methods. Our non-parametric inference method can be effectively combined with neural networks that compile approximate conditionals of the target, which are then used to guide the inference search and enable generalization across multiple target distributions. We show empirically that TreeSample outperforms standard approximate inference methods on synthetic factor graphs.
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