Nonparametric Variational Inference
published: Jan. 16, 2013, recorded: December 2012, views: 4642
Report a problem or upload filesIf you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.
Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
Variational methods are widely used for approximate posterior inference. However, their use is typically limited to families of distributions that enjoy particular conjugacy properties. To circumvent this limitation, we propose a family of variational approximations inspired by nonparametric kernel density estimation. The locations of these kernels and their bandwidth are treated as variational parameters and optimized to improve an approximate lower bound on the marginal likelihood of the data. Unlike most other variational approximations, using multiple kernels allows the approximation to capture multiple modes of the posterior. We demonstrate the e.cacy of the nonparametric approximation with a hierarchical logistic regression model and a nonlinear matrix factorization model. We obtain predictive performance as good as or better than more specialized variational methods and MCMC approximations. The method is easy to apply to graphical models for which standard variational methods are difficult to derive.
Download slides: nipsworkshops2012_hoffman_variational_01.pdf (445.1 KB)
Link this pageWould you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !