8,442 research outputs found
Variational Bayesian multinomial probit regression with Gaussian process priors
It is well known in the statistics literature that augmenting binary and polychotomous response models with Gaussian latent variables enables exact Bayesian analysis via Gibbs sampling from the parameter posterior. By adopting such a data augmentation strategy, dispensing with priors over regression coefficients in favour of Gaussian Process (GP) priors over functions, and employing variational approximations to the full posterior we obtain efficient computational methods for Gaussian Process classification in the multi-class setting. The model augmentation with additional latent variables ensures full a posteriori class coupling whilst retaining the simple a priori independent GP covariance structure from which sparse approximations, such as multi-class Informative Vector Machines (IVM), emerge in a very natural and straightforward manner. This is the first time that a fully Variational Bayesian treatment for multi-class GP classification has been developed without having to resort to additional explicit approximations to the non-Gaussian likelihood term. Empirical comparisons with exact analysis via MCMC and Laplace approximations illustrate the utility of the variational approximation as a computationally economic alternative to full MCMC and it is shown to be more accurate than the Laplace approximation
Automatic Variational Inference in Stan
Variational inference is a scalable technique for approximate Bayesian
inference. Deriving variational inference algorithms requires tedious
model-specific calculations; this makes it difficult to automate. We propose an
automatic variational inference algorithm, automatic differentiation
variational inference (ADVI). The user only provides a Bayesian model and a
dataset; nothing else. We make no conjugacy assumptions and support a broad
class of models. The algorithm automatically determines an appropriate
variational family and optimizes the variational objective. We implement ADVI
in Stan (code available now), a probabilistic programming framework. We compare
ADVI to MCMC sampling across hierarchical generalized linear models,
nonconjugate matrix factorization, and a mixture model. We train the mixture
model on a quarter million images. With ADVI we can use variational inference
on any model we write in Stan
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
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