Functional Variational Inference based on Stochastic Process GeneratorsDownload PDF

Published: 09 Nov 2021, Last Modified: 05 May 2023NeurIPS 2021 PosterReaders: Everyone
Keywords: functional variational inference, Bayesian neural networks, stochastic processes
Abstract: Bayesian inference in the space of functions has been an important topic for Bayesian modeling in the past. In this paper, we propose a new solution to this problem called Functional Variational Inference (FVI). In FVI, we minimize a divergence in function space between the variational distribution and the posterior process. This is done by using as functional variational family a new class of flexible distributions called Stochastic Process Generators (SPGs), which are cleverly designed so that the functional ELBO can be estimated efficiently using analytic solutions and mini-batch sampling. FVI can be applied to stochastic process priors when random function samples from those priors are available. Our experiments show that FVI consistently outperforms weight-space and function space VI methods on several tasks, which validates the effectiveness of our approach.
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