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

Robust Cardiac Motion Estimation using Ultrafast Ultrasound Data: A Low-Rank-Topology-Preserving Approach

Cardiac motion estimation is an important diagnostic tool to detect heart diseases and it has been explored with modalities such as MRI and conventional ultrasound (US) sequences. US cardiac motion estimation still presents challenges because of the complex motion patterns and the presence of noise. In this work, we propose a novel approach to estimate the cardiac motion using ultrafast ultrasound data. -- Our solution is based on a variational formulation characterized by the L2-regularized class. The displacement is represented by a lattice of b-splines and we ensure robustness by applying a maximum likelihood type estimator. While this is an important part of our solution, the main highlight of this paper is to combine a low-rank data representation with topology preservation. Low-rank data representation (achieved by finding the k-dominant singular values of a Casorati Matrix arranged from the data sequence) speeds up the global solution and achieves noise reduction. On the other hand, topology preservation (achieved by monitoring the Jacobian determinant) allows to radically rule out distortions while carefully controlling the size of allowed expansions and contractions. Our variational approach is carried out on a realistic dataset as well as on a simulated one. We demonstrate how our proposed variational solution deals with complex deformations through careful numerical experiments. While maintaining the accuracy of the solution, the low-rank preprocessing is shown to speed up the convergence of the variational problem. Beyond cardiac motion estimation, our approach is promising for the analysis of other organs that experience motion.Comment: 15 pages, 10 figures, Physics in Medicine and Biology, 201

Pushing Stochastic Gradient towards Second-Order Methods -- Backpropagation Learning with Transformations in Nonlinearities

Recently, we proposed to transform the outputs of each hidden neuron in a multi-layer perceptron network to have zero output and zero slope on average, and use separate shortcut connections to model the linear dependencies instead. We continue the work by firstly introducing a third transformation to normalize the scale of the outputs of each hidden neuron, and secondly by analyzing the connections to second order optimization methods. We show that the transformations make a simple stochastic gradient behave closer to second-order optimization methods and thus speed up learning. This is shown both in theory and with experiments. The experiments on the third transformation show that while it further increases the speed of learning, it can also hurt performance by converging to a worse local optimum, where both the inputs and outputs of many hidden neurons are close to zero.Comment: 10 pages, 5 figures, ICLR201