Accelerated Parallel Non-conjugate Sampling for Bayesian Non-parametric Models

Abstract

Inference of latent feature models in the Bayesian nonparametric setting is generally difficult, especially in high dimensional settings, because it usually requires proposing features from some prior distribution. In special cases, where the integration is tractable, we could sample new feature assignments according to a predictive likelihood. However, this still may not be efficient in high dimensions. We present a novel method to accelerate the mixing of latent variable model inference by proposing feature locations from the data, as opposed to the prior. First, we introduce our accelerated feature proposal mechanism that we will show is a valid Bayesian inference algorithm and next we propose an approximate inference strategy to perform accelerated inference in parallel. This sampling method is efficient for proper mixing of the Markov chain Monte Carlo sampler, computationally attractive, and is theoretically guaranteed to converge to the posterior distribution as its limiting distribution.Comment: Previously known as "Accelerated Inference for Latent Variable Models