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

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