Projects per year
Abstract
Black-box variational inference (BBVI) now sees widespread use in machine learning and statistics as a fast yet flexible alternative to Markov chain Monte Carlo methods for approximate Bayesian inference. However, stochastic optimization methods for BBVI remain unreliable and require substantial expertise and hand-tuning to apply effectively. In this paper, we propose robust and automated black-box VI (RABVI), a framework for improving the reliability of BBVI optimization. RABVI is based on rigorously justified automation techniques, includes just a small number of intuitive tuning parameters, and detects inaccurate estimates of the optimal variational approximation. RABVI adaptively decreases the learning rate by detecting convergence of the fixed--learning-rate iterates, then estimates the symmetrized Kullback--Leibler (KL) divergence between the current variational approximation and the optimal one. It also employs a novel optimization termination criterion that enables the user to balance desired accuracy against computational cost by comparing (i) the predicted relative decrease in the symmetrized KL divergence if a smaller learning were used and (ii) the predicted computation required to converge with the smaller learning rate. We validate the robustness and accuracy of RABVI through carefully designed simulation studies and on a diverse set of real-world model and data examples.
Original language | English |
---|---|
Pages (from-to) | 1−71 |
Journal | Journal of Machine Learning Research |
Volume | 25 |
Publication status | Published - 2024 |
MoE publication type | A1 Journal article-refereed |
Keywords
- Bayesian computation
- Monte Carlo
- Diagnostics
- Importance sampling
Fingerprint
Dive into the research topics of 'A Framework for Improving the Reliability of Black-box Variational Inference'. Together they form a unique fingerprint.Projects
- 1 Finished
-
-: Finnish Center for Artificial Intelligence
Kaski, S. (Principal investigator)
01/01/2019 → 31/12/2022
Project: Academy of Finland: Other research funding