Related papers: Variational Sequential Monte Carlo

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…

Sequential Monte Carlo (SMC), or particle filtering, is widely used in nonlinear state-space systems, but its performance often suffers from poorly approximated proposal and state-transition distributions. This work introduces a…

Variational inference consists in finding the best approximation of a target distribution within a certain family, where `best' means (typically) smallest Kullback-Leiber divergence. We show that, when the approximation family is…

Monte Carlo (MC) integration is the de facto method for approximating the predictive distribution of Bayesian neural networks (BNNs). But, even with many MC samples, Gaussian-based BNNs could still yield bad predictive performance due to…

In Bayesian statistics, the choice of the prior can have an important influence on the posterior and the parameter estimation, especially when few data samples are available. To limit the added subjectivity from a priori information, one…

Variational approximation methods have proven to be useful for scaling Bayesian computations to large data sets and highly parametrized models. Applying variational methods involves solving an optimization problem, and recent research in…

Using Markov chain Monte Carlo to sample from posterior distributions was the key innovation which made Bayesian data analysis practical. Notoriously, however, MCMC is hard to tune, hard to diagnose, and hard to parallelize. This…

Variational Bayesian (VB) methods produce posterior inference in a time frame considerably smaller than traditional Markov Chain Monte Carlo approaches. Although the VB posterior is an approximation, it has been shown to produce good…

We build on auto-encoding sequential Monte Carlo (AESMC): a method for model and proposal learning based on maximizing the lower bound to the log marginal likelihood in a broad family of structured probabilistic models. Our approach relies…

Importance sampling (IS) is commonly used for cross validation (CV) in Bayesian models, because it only involves reweighting existing posterior draws without needing to re-estimate the model by re-running Markov chain Monte Carlo (MCMC).…

Variational Bayes (VB) is a scalable alternative to Markov chain Monte Carlo (MCMC) for Bayesian posterior inference. Though popular, VB comes with few theoretical guarantees, most of which focus on well-specified models. However, models…

The variational quantum Monte Carlo (VQMC) method received significant attention in the recent past because of its ability to overcome the curse of dimensionality inherent in many-body quantum systems. Close parallels exist between VQMC and…

Approximating complex probability densities is a core problem in modern statistics. In this paper, we introduce the concept of Variational Inference (VI), a popular method in machine learning that uses optimization techniques to estimate…

We demonstrate the use of a variational method to determine a quantitative lower bound on the rate of convergence of Markov Chain Monte Carlo (MCMC) algorithms as a function of the target density and proposal density. The bound relies on…

We present a unified theory of the variational Monte Carlo (VMC) and determinant quantum Monte Carlo (DQMC) methods using a novel density matrix formulation of VMC. We introduce an efficient algorithm for VMC to compute correlation…

Deriving Bayesian inference for exponential random graph models (ERGMs) is a challenging "doubly intractable" problem as the normalizing constants of the likelihood and posterior density are both intractable. Markov chain Monte Carlo (MCMC)…

The problem of optimising functions with intractable gradients frequently arise in machine learning and statistics, ranging from maximum marginal likelihood estimation procedures to fine-tuning of generative models. Stochastic approximation…

The choice of approximate posterior distribution is one of the core problems in variational inference. Most applications of variational inference employ simple families of posterior approximations in order to allow for efficient inference,…

A framework is presented for fitting inverse problem models via variational Bayes approximations. This methodology guarantees flexibility to statistical model specification for a broad range of applications, good accuracy and reduced model…

Many machine learning problems involve Monte Carlo gradient estimators. As a prominent example, we focus on Monte Carlo variational inference (MCVI) in this paper. The performance of MCVI crucially depends on the variance of its stochastic…