Approximate Bayesian Inference with Stein Functional Variational Gradient DescentDownload PDF

Published: 01 Feb 2023, Last Modified: 13 Feb 2023ICLR 2023 posterReaders: Everyone
Abstract: We propose a general-purpose variational algorithm that forms a natural analogue of Stein variational gradient descent (SVGD) in function space. While SVGD successively updates a set of particles to match a target density, the method introduced here of Stein functional variational gradient descent (SFVGD) updates a set of particle functions to match a target stochastic process (SP). The update step is found by minimizing the functional derivative of the Kullback-Leibler divergence between SPs. SFVGD can either be used to train Bayesian neural networks (BNNs) or for ensemble gradient boosting. We show the efficacy of training BNNs with SFVGD on various real-world datasets.
Anonymous Url: I certify that there is no URL (e.g., github page) that could be used to find authors’ identity.
No Acknowledgement Section: I certify that there is no acknowledgement section in this submission for double blind review.
Code Of Ethics: I acknowledge that I and all co-authors of this work have read and commit to adhering to the ICLR Code of Ethics
Submission Guidelines: Yes
Please Choose The Closest Area That Your Submission Falls Into: Probabilistic Methods (eg, variational inference, causal inference, Gaussian processes)
14 Replies