Robust and Scalable Variational Bayes

• URL: http://arxiv.org/abs/2504.12528v1
• Date: Wed, 16 Apr 2025 23:20:43 GMT
• Title: Robust and Scalable Variational Bayes
• Authors: Carlos Misael Madrid Padilla, Shitao Fan, Lizhen Lin,
• Abstract summary: We propose a robust framework for variational Bayes (VB) that effectively handles outliers and contamination of arbitrary nature in large datasets.<n>Our approach divides the dataset into disjoint subsets, computes the posterior for each subset, and applies VB approximation independently to these posteriors.<n>This novel aggregation method yields the Variational Median Posterior (VM-Posterior) distribution.
• Score: 2.014089835498735
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We propose a robust and scalable framework for variational Bayes (VB) that effectively handles outliers and contamination of arbitrary nature in large datasets. Our approach divides the dataset into disjoint subsets, computes the posterior for each subset, and applies VB approximation independently to these posteriors. The resulting variational posteriors with respect to the subsets are then aggregated using the geometric median of probability measures, computed with respect to the Wasserstein distance. This novel aggregation method yields the Variational Median Posterior (VM-Posterior) distribution. We rigorously demonstrate that the VM-Posterior preserves contraction properties akin to those of the true posterior, while accounting for approximation errors or the variational gap inherent in VB methods. We also provide provable robustness guarantee of the VM-Posterior. Furthermore, we establish a variational Bernstein-von Mises theorem for both multivariate Gaussian distributions with general covariance structures and the mean-field variational family. To facilitate practical implementation, we adapt existing algorithms for computing the VM-Posterior and evaluate its performance through extensive numerical experiments. The results highlight its robustness and scalability, making it a reliable tool for Bayesian inference in the presence of complex, contaminated datasets.

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