Martin Magris;Mostafa Shabani;Alexandros Iosifidis
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引用次数: 0
摘要
我们为复杂模型中的变分推理(VI)提出了一种优化算法。我们的方法依赖于自然梯度更新,其中变异空间是黎曼流形。我们为高斯变分推理开发了一种高效算法,其更新满足变分协方差矩阵的正定约束。我们的精确矩阵流形高斯变分贝叶斯(MGVBP)解决方案提供了简单的更新规则,易于实现,而且使用精确矩阵参数化具有显著的计算优势。由于其黑箱性质,MGVBP 是复杂模型 VI 的即用型解决方案。通过五个数据集,我们在不同的统计和计量经济学模型上验证了我们的可行方法,并讨论了它与基准方法相比的性能。
Manifold Gaussian Variational Bayes on the Precision Matrix
We propose an optimization algorithm for variational inference (VI) in complex models. Our approach relies on natural gradient updates where the variational space is a Riemann manifold. We develop an efficient algorithm for gaussian variational inference whose updates satisfy the positive definite constraint on the variational covariance matrix. Our manifold gaussian variational Bayes on the precision matrix (MGVBP) solution provides simple update rules, is straightforward to implement, and the use of the precision matrix parameterization has a significant computational advantage. Due to its black-box nature, MGVBP stands as a ready-to-use solution for VI in complex models. Over five data sets, we empirically validate our feasible approach on different statistical and econometric models, discussing its performance with respect to baseline methods.
期刊介绍:
Neural Computation is uniquely positioned at the crossroads between neuroscience and TMCS and welcomes the submission of original papers from all areas of TMCS, including: Advanced experimental design; Analysis of chemical sensor data; Connectomic reconstructions; Analysis of multielectrode and optical recordings; Genetic data for cell identity; Analysis of behavioral data; Multiscale models; Analysis of molecular mechanisms; Neuroinformatics; Analysis of brain imaging data; Neuromorphic engineering; Principles of neural coding, computation, circuit dynamics, and plasticity; Theories of brain function.