Related papers: Perturbative Black Box Variational Inference

Selecting an appropriate divergence measure is a critical aspect of machine learning, as it directly impacts model performance. Among the most widely used, we find the Kullback-Leibler (KL) divergence, originally introduced in kinetic…

Variational inference (VI) has become the method of choice for fitting many modern probabilistic models. However, practitioners are faced with a fragmented literature that offers a bewildering array of algorithmic options. First, the…

We present Sequential Neural Variational Inference (SNVI), an approach to perform Bayesian inference in models with intractable likelihoods. SNVI combines likelihood-estimation (or likelihood-ratio-estimation) with variational inference to…

Discrete normal distributions are defined as the distributions with prescribed means and covariance matrices which maximize entropy on the integer lattice support. The set of discrete normal distributions form an exponential family with…

Bayesian predictive inference propagates parameter uncertainty to quantities of interest through the posterior-predictive distribution. In practice, this is typically performed using a two-stage procedure: first approximating the posterior…

Estimating a distribution given access to its unnormalized density is pivotal in Bayesian inference, where the posterior is generally known only up to an unknown normalizing constant. Variational inference and Markov chain Monte Carlo…

The identification of pollutant effects is an important task in environmental health. Bayesian kernel machine regression (BKMR) is a standard tool for inference of individual-level pollutant health-effects, and we present a mean field…

Consider the nonparametric logistic regression problem. In the logistic regression, we usually consider the maximum likelihood estimator, and the excess risk is the expectation of the Kullback-Leibler (KL) divergence between the true and…

Mutual Information (MI) is a fundamental measure of statistical dependence widely used in representation learning. While direct optimization of MI via its definition as a Kullback-Leibler divergence (KLD) is often intractable, many recent…

Stochastic Natural Gradient Variational Inference (NGVI) is a widely used method for approximating posterior distribution in probabilistic models. Despite its empirical success and foundational role in variational inference, its theoretical…

Many probabilistic models of interest in scientific computing and machine learning have expensive, black-box likelihoods that prevent the application of standard techniques for Bayesian inference, such as MCMC, which would require access to…

Recent work has attempted to directly approximate the `function-space' or predictive posterior distribution of Bayesian models, without approximating the posterior distribution over the parameters. This is appealing in e.g. Bayesian neural…

We interpret likelihood-based test functions from a geometric perspective where the Kullback-Leibler (KL) divergence is adopted to quantify the distance from a distribution to another. Such a test function can be seen as a sub-Gaussian…

We consider the problem of sampling from a probability distribution $\pi$ which admits a density w.r.t. a dominating measure. It is well known that this can be written as an optimisation problem over the space of probability distributions…

Calibration$\unicode{x2014}$the problem of ensuring that predicted probabilities align with observed class frequencies$\unicode{x2014}$is a basic desideratum for reliable prediction with machine learning systems. Calibration error is…

Recent work in unsupervised representation learning has focused on learning deep directed latent-variable models. Fitting these models by maximizing the marginal likelihood or evidence is typically intractable, thus a common approximation…

Bayesian nonparametric statistics is an area of considerable research interest. While recently there has been an extensive concentration in developing Bayesian nonparametric procedures for model checking, the use of the Dirichlet process,…

Existing score-based methods for inverse problems often resort to approximate minimization of the KL divergence between the inversion distribution and the Bayesian posterior. Such an approximation leads to severe mode collapse and…

Learning models with discrete latent variables using stochastic gradient descent remains a challenge due to the high variance of gradient estimates. Modern variance reduction techniques mostly consider categorical distributions and have…

A conventional Bayesian approach to prediction uses the posterior distribution to integrate out parameters in a density for unobserved data conditional on the observed data and parameters. When the true posterior is intractable, it is…