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

Streaming data recovery via Bayesian tensor train decomposition

In this paper, we study a Bayesian tensor train (TT) decomposition method to recover streaming data by approximating the latent structure in high-order streaming data. Drawing on the streaming variational Bayes method, we introduce the TT format into Bayesian tensor decomposition methods for streaming data, and formulate posteriors of TT cores. Thanks to the Bayesian framework of the TT format, the proposed algorithm (SPTT) excels in recovering streaming data with high-order, incomplete, and noisy properties. The experiments in synthetic and real-world datasets show the accuracy of our method compared to state-of-the-art Bayesian tensor decomposition methods for streaming data

A Factor Graph Approach to Automated Design of Bayesian Signal Processing Algorithms

The benefits of automating design cycles for Bayesian inference-based algorithms are becoming increasingly recognized by the machine learning community. As a result, interest in probabilistic programming frameworks has much increased over the past few years. This paper explores a specific probabilistic programming paradigm, namely message passing in Forney-style factor graphs (FFGs), in the context of automated design of efficient Bayesian signal processing algorithms. To this end, we developed "ForneyLab" (https://github.com/biaslab/ForneyLab.jl) as a Julia toolbox for message passing-based inference in FFGs. We show by example how ForneyLab enables automatic derivation of Bayesian signal processing algorithms, including algorithms for parameter estimation and model comparison. Crucially, due to the modular makeup of the FFG framework, both the model specification and inference methods are readily extensible in ForneyLab. In order to test this framework, we compared variational message passing as implemented by ForneyLab with automatic differentiation variational inference (ADVI) and Monte Carlo methods as implemented by state-of-the-art tools "Edward" and "Stan". In terms of performance, extensibility and stability issues, ForneyLab appears to enjoy an edge relative to its competitors for automated inference in state-space models.Comment: Accepted for publication in the International Journal of Approximate Reasonin

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