Pathfinder: Quasi-Newton Variational Inference Bob Carpenter Flatiron Institute, Center for Computational Mathematics
Staff - Faculty of Informatics
Date: 3 October 2022 / 12:30 - 14:30
USI Campus EST, room D1.14. Sector D
Speaker: Bob Carpenter
Abstract: Bob Carpenter will introduce the Pathfinder variational inference algorithm, which was motivated by finding good initializations for Markov chain Monte Carlo (i.e., solving the "burn-in" problem). It works by running quasi-Newton optimization (specifically, L-BFGS) on the target posterior (not the stochastic ELBO, as in other black-box variational inference algorithms). At each iteration of optimization, Pathfinder defines a variational approximation to the posterior, in the form of a multivariate normal distribution taking the low-rank plus diagonal inverse Hessian from the optimizer as covariance. It then selects the approximation with the lowest KL-divergence to the true posterior. Multi-path Pathfinder runs multiple instances of Pathfinder in parallel and then uses importance resampling to produce a final set of draws. The single-path algorithm provides much better approximations (measured by Wasserstein distance or KL-divergence) than the previous state-of-the-art mean-field or full-rank black box variational inference schemes, and the multi-path algorithm is much better again for posteriors with multiple modes or complex geometry. The computational bottleneck is evaluating KL-divergence through the evidence lower bound (ELBO), but this step is embarrassingly parallelizable. Even without parallelization, Pathfinder is one to three orders of magnitude faster than the state of the art black box variational inference or using the no-U-turn Hamiltonian Monte Carlo sampler for warmup. It is also much more robust. He will show the results of evaluating on dozens of different models in the posteriordb test suite and also a range of high-dimensional and multimodal problems. This is joint work with Lu Zhang, Aki Vehtari, and Andrew Gelman.
C++ implementation for Stan: https://github.com/stan-dev/stan/pull/3123
Biography: Bob Carpenter is a research scientist at Flatiron Institute's Center for Computational Mathematics. He works on probabilistic programming languages, statistical inference algorithms, and applied statistics, primarily within the Stan community (https://mc-stan.org). Before moving into statistics, Bob worked on theoretical linguistics, logic programming, natural language processing, speech recognition, and search, both in industry and academia.
Host: Antonietta Mira