Fiber Monte Carlo

Abstract

Integrals with discontinuous integrands are ubiquitous, arising from discrete structure in applications like topology optimization, graphics, and computational geometry. These integrals are often part of a forward model in an inverse problem where it is necessary to reason backwards about the parameters, ideally using gradient-based optimization. Monte Carlo methods are widely used to estimate the value of integrals, but this results in a non-differentiable approximation that is amenable to neither conventional automatic differentiation nor reparameterization-based gradient methods. This significantly disrupts efforts to integrate machine learning methods in areas that exhibit these discontinuities: physical simulation and robotics, design, graphics, and computational geometry. Although bespoke domain-specific techniques can handle special cases, a general methodology to wield automatic differentiation in these discrete contexts is wanting. We introduce a differentiable variant of the simple Monte Carlo estimator which samples line segments rather than points from the domain. We justify our estimator analytically as conditional Monte Carlo and demonstrate the diverse functionality of the method as applied to image stylization, topology optimization, and computational geometry.