Partially factorized variational inference for high-dimensional mixed models

• URL: http://arxiv.org/abs/2312.13148v1
• Date: Wed, 20 Dec 2023 16:12:37 GMT
• Title: Partially factorized variational inference for high-dimensional mixed models
• Authors: Max Goplerud, Omiros Papaspiliopoulos, Giacomo Zanella
• Abstract summary: Variational inference (VI) methods are a popular way to perform such computations. We show that standard VI (i.e. mean-field) dramatically underestimates posterior uncertainty in high-dimensions. We then show how appropriately relaxing the mean-field assumption leads to VI methods whose uncertainty quantification does not deteriorate in high-dimensions.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: While generalized linear mixed models (GLMMs) are a fundamental tool in applied statistics, many specifications -- such as those involving categorical factors with many levels or interaction terms -- can be computationally challenging to estimate due to the need to compute or approximate high-dimensional integrals. Variational inference (VI) methods are a popular way to perform such computations, especially in the Bayesian context. However, naive VI methods can provide unreliable uncertainty quantification. We show that this is indeed the case in the GLMM context, proving that standard VI (i.e. mean-field) dramatically underestimates posterior uncertainty in high-dimensions. We then show how appropriately relaxing the mean-field assumption leads to VI methods whose uncertainty quantification does not deteriorate in high-dimensions, and whose total computational cost scales linearly with the number of parameters and observations. Our theoretical and numerical results focus on GLMMs with Gaussian or binomial likelihoods, and rely on connections to random graph theory to obtain sharp high-dimensional asymptotic analysis. We also provide generic results, which are of independent interest, relating the accuracy of variational inference to the convergence rate of the corresponding coordinate ascent variational inference (CAVI) algorithm for Gaussian targets. Our proposed partially-factorized VI (PF-VI) methodology for GLMMs is implemented in the R package vglmer, see https://github.com/mgoplerud/vglmer . Numerical results with simulated and real data examples illustrate the favourable computation cost versus accuracy trade-off of PF-VI.

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