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Poster
Copula-like Variational Inference
Marcel Hirt · Petros Dellaportas · Alain Durmus

Tue Dec 10 05:30 PM -- 07:30 PM (PST) @ East Exhibition Hall B + C #165
in Probabilistic Methods -- Variational Inference »

This paper considers a new family of variational distributions motivated by Sklar's theorem. This family is based on new copula-like densities on the hypercube with non-uniform marginals which can be sampled efficiently, i.e. with a complexity linear in the dimension d of the state space. Then, the proposed variational densities that we suggest can be seen as arising from these copula-like densities used as base distributions on the hypercube with Gaussian quantile functions and sparse rotation matrices as normalizing flows. The latter correspond to a rotation of the marginals with complexity O(d log d). We provide some empirical evidence that such a variational family can also approximate non-Gaussian posteriors and can be beneficial compared to Gaussian approximations. Our method performs largely comparably to state-of-the-art variational approximations on standard regression and classification benchmarks for Bayesian Neural Networks.

Keywords: Variational Inference · Probabilistic Methods
[ Paper]  [ Poster] 

Author Information

Marcel Hirt (University College London)
Petros Dellaportas (University College London, Athens University of Economics and Alan Turing Institute)
Alain Durmus (ENS Paris Saclay)

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