33,157 research outputs found
Stochastic Collapsed Variational Inference for Sequential Data
Stochastic variational inference for collapsed models has recently been
successfully applied to large scale topic modelling. In this paper, we propose
a stochastic collapsed variational inference algorithm in the sequential data
setting. Our algorithm is applicable to both finite hidden Markov models and
hierarchical Dirichlet process hidden Markov models, and to any datasets
generated by emission distributions in the exponential family. Our experiment
results on two discrete datasets show that our inference is both more efficient
and more accurate than its uncollapsed version, stochastic variational
inference.Comment: NIPS Workshop on Advances in Approximate Bayesian Inference, 201
Variational Sequential Monte Carlo
Many recent advances in large scale probabilistic inference rely on
variational methods. The success of variational approaches depends on (i)
formulating a flexible parametric family of distributions, and (ii) optimizing
the parameters to find the member of this family that most closely approximates
the exact posterior. In this paper we present a new approximating family of
distributions, the variational sequential Monte Carlo (VSMC) family, and show
how to optimize it in variational inference. VSMC melds variational inference
(VI) and sequential Monte Carlo (SMC), providing practitioners with flexible,
accurate, and powerful Bayesian inference. The VSMC family is a variational
family that can approximate the posterior arbitrarily well, while still
allowing for efficient optimization of its parameters. We demonstrate its
utility on state space models, stochastic volatility models for financial data,
and deep Markov models of brain neural circuits
Practical Collapsed Stochastic Variational Inference for the HDP
Recent advances have made it feasible to apply the stochastic variational
paradigm to a collapsed representation of latent Dirichlet allocation (LDA).
While the stochastic variational paradigm has successfully been applied to an
uncollapsed representation of the hierarchical Dirichlet process (HDP), no
attempts to apply this type of inference in a collapsed setting of
non-parametric topic modeling have been put forward so far. In this paper we
explore such a collapsed stochastic variational Bayes inference for the HDP.
The proposed online algorithm is easy to implement and accounts for the
inference of hyper-parameters. First experiments show a promising improvement
in predictive performance.Comment: NIPS Workshop; Topic Models: Computation, Application, and Evaluatio
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