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Black-Box Variational Inference as a Parametric Approximation to Langevin Dynamics
Matthew Hoffman · Yian Ma

Thu Jul 16 06:00 AM -- 06:45 AM & Thu Jul 16 05:00 PM -- 05:45 PM (PDT) @ None #None

Variational inference (VI) and Markov chain Monte Carlo (MCMC) are approximate posterior inference algorithms that are often said to have complementary strengths, with VI being fast but biased and MCMC being slower but asymptotically unbiased. In this paper, we analyze gradient-based MCMC and VI procedures and find theoretical and empirical evidence that these procedures are not as different as one might think. In particular, a close examination of the Fokker-Planck equation that governs the Langevin dynamics (LD) MCMC procedure reveals that LD implicitly follows a gradient flow that corresponds to an VI procedure based on optimizing a nonparametric normalizing flow. The evolution under gradient descent of real-world VI approximations that use tractable, parametric flows can thus be seen as an approximation to the evolution of a population of LD-MCMC chains. This result suggests that the transient bias of LD (due to the Markov chain not having burned in) may track that of VI (due to the optimizer not having converged), up to differences due to VI’s asymptotic bias and parameter geometry. Empirically, we find that the transient biases of these algorithms (and their momentum-accelerated counterparts) do evolve similarly. This suggests that practitioners with a limited time budget may get more accurate results by running an MCMC procedure (even if it is stopped before fully burning in) than a VI procedure, as long as the variance of the MCMC estimator can be dealt with (e.g., by running many parallel chains).

Author Information

Matt Hoffman (Google)
Yian Ma (Google)

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