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Automatic Differentiation Variational Inference

Author(s): Kucukelbir, Alp; Tran, Dustin; Ranganath, Rajesh; Gelman, Andrew; Blei, David M

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Abstract: Probabilistic modeling is iterative. A scientist posits a simple model, fits it to her data, refines it according to her analysis, and repeats. However, fitting complex models to large data is a bottleneck in this process. Deriving algorithms for new models can be both mathematically and computationally challenging, which makes it difficult to efficiently cycle through the steps. To this end, we develop ADVI. Using our method, the scientist only provides a probabilistic model and a dataset, nothing else. ADVI automatically derives an efficient variational inference algorithm, freeing the scientist to refine and explore many models. ADVI supports a broad class of models ---no conjugacy assumptions are required. We study ADVI across ten modern probabilistic models and apply it to a dataset with millions of observations. We deploy ADVI as part of Stan, a probabilistic programming system.
Publication Date: 2017
Citation: Kucukelbir, Alp, Dustin Tran, Rajesh Ranganath, Andrew Gelman, and David M. Blei. "Automatic Differentiation Variational Inference." Journal of Machine Learning Research 18, no. 14 (2017): 1-45.
ISSN: 1532-4435
Pages: 1 - 45
Type of Material: Journal Article
Journal/Proceeding Title: Journal of Machine Learning Research
Version: Final published version. This is an open access article.

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