Patterns of Scalable Bayesian Inference

Datasets are growing not just in size but in complexity, creating a demand for rich models and quantification of uncertainty. Bayesian methods are an excellent fit for this demand, but scaling Bayesian inference is a challenge. In response to this challenge, there has been considerable recent work based on varying assumptions about model structure, underlying computational resources, and the importance of asymptotic correctness. As a result, there is a zoo of ideas with few clear overarching principles. In this paper, we seek to identify unifying principles, patterns, and intuitions for scaling Bayesian inference. We review existing work on utilizing modern computing resources with both MCMC and variational approximation techniques. From this taxonomy of ideas, we characterize the general principles that have proven successful for designing scalable inference procedures and comment on the path forward

Scalable Parallel Factorizations of SDD Matrices and Efficient Sampling for Gaussian Graphical Models

Motivated by a sampling problem basic to computational statistical inference, we develop a nearly optimal algorithm for a fundamental problem in spectral graph theory and numerical analysis. Given an $n\times n$ SDDM matrix ${\bf \mathbf{M}}$, and a constant $-1 \leq p \leq 1$, our algorithm gives efficient access to a sparse $n\times n$ linear operator $\tilde{\mathbf{C}}$ such that $${\mathbf{M}}^{p} \approx \tilde{\mathbf{C}} \tilde{\mathbf{C}}^\top.$$ The solution is based on factoring ${\bf \mathbf{M}}$ into a product of simple and sparse matrices using squaring and spectral sparsification. For ${\mathbf{M}}$ with $m$ non-zero entries, our algorithm takes work nearly-linear in $m$, and polylogarithmic depth on a parallel machine with $m$ processors. This gives the first sampling algorithm that only requires nearly linear work and $n$ i.i.d. random univariate Gaussian samples to generate i.i.d. random samples for $n$-dimensional Gaussian random fields with SDDM precision matrices. For sampling this natural subclass of Gaussian random fields, it is optimal in the randomness and nearly optimal in the work and parallel complexity. In addition, our sampling algorithm can be directly extended to Gaussian random fields with SDD precision matrices