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Poster
Integrated Non-Factorized Variational Inference
Shaobo Han · Xuejun Liao · Lawrence Carin

Fri Dec 07:00 PM -- 11:59 PM PST @ Harrah's Special Events Center, 2nd Floor #None
We present a non-factorized variational method for full posterior inference in Bayesian hierarchical models, with the goal of capturing the posterior variable dependencies via efficient and possibly parallel computation. Our approach unifies the integrated nested Laplace approximation (INLA) under the variational framework. The proposed method is applicable in more challenging scenarios than typically assumed by INLA, such as Bayesian Lasso, which is characterized by the non-differentiability of the $\ell_{1}$ norm arising from independent Laplace priors. We derive an upper bound for the Kullback-Leibler divergence, which yields a fast closed-form solution via decoupled optimization. Our method is a reliable analytic alternative to Markov chain Monte Carlo (MCMC), and it results in a tighter evidence lower bound than that of mean-field variational Bayes (VB) method.

Author Information

Shaobo Han (Duke University)
Xuejun Liao (Duke University)
Lawrence Carin (Duke University)

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