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Kullback-Leibler Proximal Variational Inference
Mohammad Emtiyaz Khan · Pierre Baque · François Fleuret · Pascal Fua

Wed Dec 09 04:00 PM -- 08:59 PM (PST) @ 210 C #51 #None

We propose a new variational inference method based on the Kullback-Leibler (KL) proximal term. We make two contributions towards improving efficiency of variational inference. Firstly, we derive a KL proximal-point algorithm and show its equivalence to gradient descent with natural gradient in stochastic variational inference. Secondly, we use the proximal framework to derive efficient variational algorithms for non-conjugate models. We propose a splitting procedure to separate non-conjugate terms from conjugate ones. We then linearize the non-conjugate terms and show that the resulting subproblem admits a closed-form solution. Overall, our approach converts a non-conjugate model to subproblems that involve inference in well-known conjugate models. We apply our method to many models and derive generalizations for non-conjugate exponential family. Applications to real-world datasets show that our proposed algorithms are easy to implement, fast to converge, perform well, and reduce computations.

Author Information

Emtiyaz Khan (EPFL)

Emtiyaz Khan (also known as Emti) is a team leader at the RIKEN center for Advanced Intelligence Project (AIP) in Tokyo where he leads the Approximate Bayesian Inference Team. He is also a visiting professor at the Tokyo University of Agriculture and Technology (TUAT). Previously, he was a postdoc and then a scientist at Ecole Polytechnique Fédérale de Lausanne (EPFL), where he also taught two large machine learning courses and received a teaching award. He finished his PhD in machine learning from University of British Columbia in 2012. The main goal of Emti’s research is to understand the principles of learning from data and use them to develop algorithms that can learn like living beings. For the past 10 years, his work has focused on developing Bayesian methods that could lead to such fundamental principles. The approximate Bayesian inference team now continues to use these principles, as well as derive new ones, to solve real-world problems.

Pierre Baque
François Fleuret (Idiap Research Institute)

François Fleuret got a PhD in Mathematics from INRIA and the University of Paris VI in 2000, and an Habilitation degree in Mathematics from the University of Paris XIII in 2006. He is Full Professor in the department of Computer Science at the University of Geneva, and Adjunct Professor in the School of Engineering of the École Polytechnique Fédérale de Lausanne. He has published more than 80 papers in peer-reviewed international conferences and journals. He is Associate Editor of the IEEE Transactions on Pattern Analysis and Machine Intelligence, serves as Area Chair for NeurIPS, AAAI, and ICCV, and in the program committee of many top-tier international conferences in machine learning and computer vision. He was or is expert for multiple funding agencies. He is the inventor of several patents in the field of machine learning, and co-founder of Neural Concept SA, a company specializing in the development and commercialization of deep learning solutions for engineering design. His main research interest is machine learning, with a particular focus on computational aspects and sample efficiency.

Pascal Fua (EPFL, Switzerland)

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