  We propose a simple algorithm to train stochastic neural networks to draw
samples from given target distributions for probabilistic inference. Our method
is based on iteratively adjusting the neural network parameters so that the
output changes along a Stein variational gradient that maximumly decreases the
KL divergence with the target distribution. Our method works for any target
distribution specified by their unnormalized density function, and can train
any black-box architectures that are differentiable in terms of the parameters
we want to adapt. As an application of our method, we propose an amortized MLE
algorithm for training deep energy model, where a neural sampler is adaptively
trained to approximate the likelihood function. Our method mimics an
adversarial game between the deep energy model and the neural sampler, and
obtains realistic-looking images competitive with the state-of-the-art results.
