Insights Into Multiple/Single Lower Bound Approximation for Extended Variational Inference in Non-Gaussian Structured Data Modeling

For most of the non-Gaussian statistical models, the data being modeled represent strongly structured properties, such as scalar data with bounded support (e.g., beta distribution), vector data with unit length (e.g., Dirichlet distribution), and vector data with positive elements (e.g., generalized inverted Dirichlet distribution). In practical implementations of non-Gaussian statistical models, it is infeasible to find an analytically tractable solution to estimating the posterior distributions of the parameters. Variational inference (VI) is a widely used framework in Bayesian estimation. Recently, an improved framework, namely, the extended VI (EVI), has been introduced and applied successfully to a number of non-Gaussian statistical models. EVI derives analytically tractable solutions by introducing lower bound approximations to the variational objective function. In this paper, we compare two approximation strategies, namely, the multiple lower bounds (MLBs) approximation and the single lower bound (SLB) approximation, which can be applied to carry out the EVI. For implementation, two different conditions, the weak and the strong conditions, are discussed. Convergence of the EVI depends on the selection of the lower bound, regardless of the choice of weak or strong condition. We also discuss the convergence properties to clarify the differences between MLB and SLB. Extensive comparisons are made based on some EVI-based non-Gaussian statistical models. Theoretical analysis is conducted to demonstrate the differences between the weak and strong conditions. Experimental results based on real data show advantages of the SLB approximation over the MLB approximation

Automatic Differentiation Variational Inference

Probabilistic modeling is iterative. A scientist posits a simple model, fits it to her data, refines it according to her analysis, and repeats. However, fitting complex models to large data is a bottleneck in this process. Deriving algorithms for new models can be both mathematically and computationally challenging, which makes it difficult to efficiently cycle through the steps. To this end, we develop automatic differentiation variational inference (ADVI). Using our method, the scientist only provides a probabilistic model and a dataset, nothing else. ADVI automatically derives an efficient variational inference algorithm, freeing the scientist to refine and explore many models. ADVI supports a broad class of models-no conjugacy assumptions are required. We study ADVI across ten different models and apply it to a dataset with millions of observations. ADVI is integrated into Stan, a probabilistic programming system; it is available for immediate use