Efficient Approximate Inference with Walsh-Hadamard Variational Inference
Abstract
Variational inference offers scalable and flexible tools to tackle intractable Bayesian inference of modern statistical models like Bayesian neural networks and Gaussian processes. For largely over-parameterized models, however, the over-regularization property of the variational objective makes the application of variational inference challenging. Inspired by the literature on kernel methods, and in particular on structured approximations of distributions of random matrices, this paper proposes Walsh-Hadamard Variational Inference, which uses Walsh-Hadamard-based factorization strategies to reduce model parameterization, accelerate computations, and increase the expressiveness of the approximate posterior beyond fully factorized ones.
Cite
@article{arxiv.1912.00015,
title = {Efficient Approximate Inference with Walsh-Hadamard Variational Inference},
author = {Simone Rossi and Sebastien Marmin and Maurizio Filippone},
journal= {arXiv preprint arXiv:1912.00015},
year = {2019}
}
Comments
Paper accepted at the 4th Workshop on Bayesian Deep Learning (NeurIPS 2019), Vancouver, Canada. arXiv admin note: substantial text overlap with arXiv:1905.11248