A trust-region method for stochastic variational inference with applications to streaming data

Stochastic variational inference allows for fast posterior inference in complex Bayesian models. However, the algorithm is prone to local optima which can make the quality of the posterior approximation sensitive to the choice of hyperparameters and initialization. We address this problem by replacing the natural gradient step of stochastic varitional inference with a trust-region update. We show that this leads to generally better results and reduced sensitivity to hyperparameters. We also describe a new strategy for variational inference on streaming data and show that here our trust-region method is crucial for getting good performance.Comment: in Proceedings of the 32nd International Conference on Machine Learning, 201

An Empirical Study of Stochastic Variational Algorithms for the Beta Bernoulli Process

Stochastic variational inference (SVI) is emerging as the most promising candidate for scaling inference in Bayesian probabilistic models to large datasets. However, the performance of these methods has been assessed primarily in the context of Bayesian topic models, particularly latent Dirichlet allocation (LDA). Deriving several new algorithms, and using synthetic, image and genomic datasets, we investigate whether the understanding gleaned from LDA applies in the setting of sparse latent factor models, specifically beta process factor analysis (BPFA). We demonstrate that the big picture is consistent: using Gibbs sampling within SVI to maintain certain posterior dependencies is extremely effective. However, we find that different posterior dependencies are important in BPFA relative to LDA. Particularly, approximations able to model intra-local variable dependence perform best.Comment: ICML, 12 pages. Volume 37: Proceedings of The 32nd International Conference on Machine Learning, 201