Properties of Bethe Free Energies and Message Passing in Gaussian Models

We address the problem of computing approximate marginals in Gaussian probabilistic models by using mean field and fractional Bethe approximations. We define the Gaussian fractional Bethe free energy in terms of the moment parameters of the approximate marginals, derive a lower and an upper bound on the fractional Bethe free energy and establish a necessary condition for the lower bound to be bounded from below. It turns out that the condition is identical to the pairwise normalizability condition, which is known to be a sufficient condition for the convergence of the message passing algorithm. We show that stable fixed points of the Gaussian message passing algorithm are local minima of the Gaussian Bethe free energy. By a counterexample, we disprove the conjecture stating that the unboundedness of the free energy implies the divergence of the message passing algorithm.

Sparse Approximate Inference for Spatio-Temporal Point Process Models

Spatio-temporal point process models play a central role in the analysis of spatially distributed systems in several disciplines. Yet, scalable inference remains computa- tionally challenging both due to the high resolution modelling generally required and the analytically intractable likelihood function. Here, we exploit the sparsity structure typical of (spatially) discretised log-Gaussian Cox process models by using approximate message-passing algorithms. The proposed algorithms scale well with the state dimension and the length of the temporal horizon with moderate loss in distributional accuracy. They hence provide a flexible and faster alternative to both non-linear filtering-smoothing type algorithms and to approaches that implement the Laplace method or expectation propagation on (block) sparse latent Gaussian models. We infer the parameters of the latent Gaussian model using a structured variational Bayes approach. We demonstrate the proposed framework on simulation studies with both Gaussian and point-process observations and use it to reconstruct the conflict intensity and dynamics in Afghanistan from the WikiLeaks Afghan War Diary.

Bounds on the Bethe Free Energy for Gaussian Networks

We address the problem of computing approximate marginals in Gaussian probabilistic models by using mean field and fractional Bethe approximations. As an extension of Welling and Teh (2001), we define the Gaussian fractional Bethe free energy in terms of the moment parameters of the approximate marginals and derive an upper and lower bound for it. We give necessary conditions for the Gaussian fractional Bethe free energies to be bounded from below. It turns out that the bounding condition is the same as the pairwise normalizability condition derived by Malioutov et al. (2006) as a sufficient condition for the convergence of the message passing algorithm. By giving a counterexample, we disprove the conjecture in Welling and Teh (2001): even when the Bethe free energy is not bounded from below, it can possess a local minimum to which the minimization algorithms can converge.