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Register a new userA trust-region method for stochastic variational inference with applications to streaming data
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Added by
Lucas Theis
Publication date
2015
fields
Mathematical Statistics
and research's language is
English
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Stochastic variational inference allows for fast posterior inference in complex Bayesian models. However, the algorithm is prone to local optima which can make the quality of the posterior approximation sensitive to the choice of hyperparameters and initialization. We address this problem by replacing the natural gradient step of stochastic varitional inference with a trust-region update. We show that this leads to generally better results and reduced sensitivity to hyperparameters. We also describe a new strategy for variational inference on streaming data and show that here our trust-region method is crucial for getting good performance.
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