Neural Variational Gradient Descent

• URL: http://arxiv.org/abs/2107.10731v1
• Date: Thu, 22 Jul 2021 15:10:50 GMT
• Title: Neural Variational Gradient Descent
• Authors: Lauro Langosco di Langosco, Vincent Fortuin, Heiko Strathmann
• Abstract summary: Particle-based approximate Bayesian inference approaches such as Stein Variational Gradient Descent (SVGD) combine the flexibility and convergence guarantees of sampling methods with the computational benefits of variational inference. We propose Neural Neural Variational Gradient Descent (NVGD), which is based on parameterizing the witness function of the Stein discrepancy by a deep neural network whose parameters are learned in parallel to the inference, mitigating the necessity to make any kernel choices whatsoever.
• Score: 6.414093278187509
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Particle-based approximate Bayesian inference approaches such as Stein Variational Gradient Descent (SVGD) combine the flexibility and convergence guarantees of sampling methods with the computational benefits of variational inference. In practice, SVGD relies on the choice of an appropriate kernel function, which impacts its ability to model the target distribution -- a challenging problem with only heuristic solutions. We propose Neural Variational Gradient Descent (NVGD), which is based on parameterizing the witness function of the Stein discrepancy by a deep neural network whose parameters are learned in parallel to the inference, mitigating the necessity to make any kernel choices whatsoever. We empirically evaluate our method on popular synthetic inference problems, real-world Bayesian linear regression, and Bayesian neural network inference.

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