Discrete gradient estimators

One-line definition

Discrete gradient estimators approximate ${\nabla }_{\theta }{\mathbb{E}}_{z\sim p_{\theta }}[f(z)]$ when $z$ is discrete — the case where you cannot reparameterize the sample as a smooth function of $\theta$ and noise. The three you must know: REINFORCE (score function), Gumbel-Softmax (continuous relaxation), and the straight-through estimator.

Why it matters

The reparameterization trick handles continuous latents (Gaussian VAEs). But many models sample discrete objects — categorical latents, hard attention, tokens, architecture choices, RL actions. You can’t push a gradient through argmax or a categorical sample, so you need an estimator. This is the deep-DL follow-up to “explain the reparameterization trick,” and it underpins RLHF (which uses the score-function estimator) and discrete latent-variable models.

The core problem

We want ${\nabla }_{\theta }{\mathbb{E}}_{z\sim p_{\theta }(z)}[f(z)]$. The expectation is a sum over discrete $z$; the sampling operation is non-differentiable. The two families of solutions trade bias for variance.

1. Score-function estimator (REINFORCE / likelihood ratio)

Use the log-derivative identity ${\nabla }_{\theta }{p}_{\theta }(z)=p_{\theta }(z){\nabla }_{\theta }\log p_{\theta }(z)$:

$${\nabla }_{\theta }{\mathbb{E}}_z[f(z)]={\mathbb{E}}_{z\sim p_{\theta }}[f(z){\nabla }_{\theta }\log p_{\theta }(z)].$$

Unbiased, requires only that you can sample $z$ and evaluate $\log p_{\theta }(z)$ — $f$ can be a black box (non-differentiable, even an environment reward).

The catch is high variance. Mitigations:

• Baselines / control variates: subtract a baseline $b$ that doesn’t depend on $z$: $(f(z)-b){\nabla }_{\theta }\log p_{\theta }(z)$. Still unbiased (since $\mathbb{E}[{\nabla }_{\theta }\log p_{\theta }]=0$), lower variance. The value-function baseline in actor-critic is exactly this.
• More samples, advantage normalization, etc.

This estimator is policy-gradient RL. REINFORCE, A2C, and PPO are all score-function estimators with progressively better variance control.

2. Gumbel-Softmax (Concrete distribution)

Relax the discrete sample into a continuous one you can reparameterize. The Gumbel-Max trick says a categorical sample equals

$$z=\underset{i}{\mathrm{argmax}}(\log {\pi }_i+g_i),g_i\sim \text{Gumbel}(0,1).$$

Replace the non-differentiable argmax with a temperature-$\tau$ softmax:

$$y_i=\frac{\exp ((\log {\pi }_i+g_i)/\tau )}{{\sum }_j\exp ((\log {\pi }_j+g_j)/\tau )}.$$

Now $y$ is a differentiable, reparameterized sample (a point on the simplex). As $\tau \to 0$, $y$ approaches a one-hot vector but the gradient variance blows up; as $\tau$ grows, samples are smooth but biased toward uniform. You anneal $\tau$ downward during training. Low variance, biased.

3. Straight-through estimator (STE)

Forward pass: use the hard discrete value (e.g. argmax, or a threshold). Backward pass: pretend the operation was the identity (or the softmax), and pass the gradient straight through.

$$\text{forward: }z=\text{one\_hot}(\arg \max ),\text{backward: }\frac{\partial z}{\partial \text{logits}}\approx \frac{\partial \text{softmax}}{\partial \text{logits}}.$$

Straight-Through Gumbel-Softmax combines both: hard one-hot forward, soft Gumbel-Softmax gradient backward — so the rest of the network sees a genuine discrete sample. STE is biased (the backward op isn’t the true derivative) but cheap and empirically effective; it is the workhorse behind VQ-VAE codebook training and binarized/quantized networks.

The bias-variance tradeoff

Estimator	Bias	Variance	Needs differentiable $f$?	Typical use
Score function (REINFORCE)	Unbiased	High	No	RL, RLHF, black-box reward
Gumbel-Softmax	Biased ($\tau >0$)	Low	Yes	Discrete latents (categorical VAE)
Straight-through	Biased	Low	Yes (via surrogate)	VQ-VAE, quantization, hard attention

The dividing question: can you differentiate $f$? If not (an environment, a metric, a sampled-then-scored pipeline), you’re forced onto the score-function estimator. If you can, the relaxation methods give far lower variance.

What an interviewer expects you to say

1. State why reparameterization fails for discrete $z$ (you can’t write a discrete sample as a smooth function of noise and $\theta$).
2. Give the score-function estimator with the $\nabla \log p$ identity, that it’s unbiased but high-variance, and that baselines reduce variance without adding bias.
3. Explain Gumbel-Softmax as the reparameterizable relaxation with a temperature you anneal — biased, low variance.
4. Describe the straight-through estimator (hard forward, soft/identity backward) and that it trains VQ-VAE and quantized nets.
5. Connect to practice: RLHF uses score-function (PPO) because text is discrete and a 50K-way Gumbel-Softmax is impractical; DPO sidesteps sampling entirely.

Common confusions

• “You can just backprop through argmax.” Its gradient is zero almost everywhere; that’s the whole problem.
• “REINFORCE is biased.” It’s unbiased; its issue is variance. Baselines fix variance, not bias.
• “Gumbel-Softmax is exact.” It’s biased for any $\tau >0$; only the $\tau \to 0$ limit is exact, and there the gradient is uselessly high-variance.
• “Straight-through has a principled gradient.” It doesn’t — it’s a useful heuristic (the backward op deliberately mismatches the forward op).
• “These are RL-only / VAE-only tricks.” They’re general: hard attention, neural architecture search, discrete communication, and quantization all use them.

---

Related: Explain the reparameterization trick, Policy gradient, PPO, Variational autoencoders, Quantization.