We propose in this work RBM-SVGD, a stochastic version of Stein Variational Gradient Descent (SVGD) method for efficiently sampling from a given probability measure and thus useful for Bayesian inference. The method is to apply the Random Batch Method (RBM) for interacting particle systems proposed by Jin et al to the interacting particle systems in SVGD. While keeping the behaviors of SVGD, it reduces the computational cost, especially when the interacting kernel has long range. Numerical examples verify the efficiency of this new version of SVGD.
University College London（伦敦大学学院）；KAUST（阿卜杜拉国王科技大学）
We study the Stein Variational Gradient Descent (SVGD) algorithm, which optimises a set of particles to approximate a target probability distribution $π\propto e^{-V}$ on $\mathbb{R}^d$. In the population limit, SVGD performs gradient descent in the space of probability distributions on the KL divergence with respect to $π$, where the gradient is smoothed through a kernel integral operator. In this paper, we provide a novel finite time analysis for the SVGD algorithm. We provide a descent lemma establishing that the algorithm decreases the objective at each iteration, and rates of convergence …
We propose a general purpose variational inference algorithm that forms a natural counterpart of gradient descent for optimization. Our method iteratively transports a set of particles to match the target distribution, by applying a form of functional gradient descent that minimizes the KL divergence. Empirical studies are performed on various real world models and datasets, on which our method is competitive with existing state-of-the-art methods. The derivation of our method is based on a new theoretical result that connects the derivative of KL divergence under smooth transforms with Stein'…
CREST（经济与统计研究中心）；ENSAE（法国国立统计与经济管理学院）；Institut Polytechnique de Paris（巴黎理工学院）；CAS（中国科学院）；MINES ParisTech（巴黎高等矿业学院）；CMAP（应用数学中心）；Ecole Polytechnique（巴黎综合理工学院）；CNRS（法国国家科学研究中心）；DMA（数学系）；Ecole Normale Supérieure（巴黎高等师范学院）
Among dissimilarities between probability distributions, the Kernel Stein Discrepancy (KSD) has received much interest recently. We investigate the properties of its Wasserstein gradient flow to approximate a target probability distribution $π$ on $\mathbb{R}^d$, known up to a normalization constant. This leads to a straightforwardly implementable, deterministic score-based method to sample from $π$, named KSD Descent, which uses a set of particles to approximate $π$. Remarkably, owing to a tractable loss function, KSD Descent can leverage robust parameter-free optimization schemes such as L-B…
Stein variational gradient descent (SVGD) is a non-parametric inference algorithm that evolves a set of particles to fit a given distribution of interest. We analyze the non-asymptotic properties of SVGD, showing that there exists a set of functions, which we call the Stein matching set, whose expectations are exactly estimated by any set of particles that satisfies the fixed point equation of SVGD. This set is the image of Stein operator applied on the feature maps of the positive definite kernel used in SVGD. Our results provide a theoretical framework for analyzing the properties of SVGD wi…
Stein variational gradient descent (SVGD) is a particle-based inference algorithm that leverages gradient information for efficient approximate inference. In this work, we enhance SVGD by leveraging preconditioning matrices, such as the Hessian and Fisher information matrix, to incorporate geometric information into SVGD updates. We achieve this by presenting a generalization of SVGD that replaces the scalar-valued kernels in vanilla SVGD with more general matrix-valued kernels. This yields a significant extension of SVGD, and more importantly, allows us to flexibly incorporate various precond…
Oden Institute for Computational Engineering and Sciences（奥登计算工程与科学研究所）；The University of Texas at Austin（德克萨斯大学奥斯汀分校）
The curse of dimensionality is a longstanding challenge in Bayesian inference in high dimensions. In this work, we propose a projected Stein variational gradient descent (pSVGD) method to overcome this challenge by exploiting the fundamental property of intrinsic low dimensionality of the data informed subspace stemming from ill-posedness of such problems. We adaptively construct the subspace using a gradient information matrix of the log-likelihood, and apply pSVGD to the much lower-dimensional coefficients of the parameter projection. The method is demonstrated to be more accurate and effici…
Branching Stein Variational Gradient Descent for sampling multimodal distributions
) Kyoto University, Disaster Prevention Research Institute, Japan；) Centro de Investigaci\'on en Matem\'aticas A.C., Department of Probability；) ETH Zurich, Department of Mathematics, Switzerland
A new method for learning variational autoencoders (VAEs) is developed, based on Stein variational gradient descent. A key advantage of this approach is that one need not make parametric assumptions about the form of the encoder distribution. Performance is further enhanced by integrating the proposed encoder with importance sampling. Excellent performance is demonstrated across multiple unsupervised and semi-supervised problems, including semi-supervised analysis of the ImageNet data, demonstrating the scalability of the model to large datasets.
University of Electronic Science and Technology of China（电子科技大学）；Harbin Institute of Technology（哈尔滨工业大学）；Peng Cheng Lab（鹏城实验室）
Stein variational gradient descent (SVGD) and its variants have shown promising successes in approximate inference for complex distributions. In practice, we notice that the kernel used in SVGD-based methods has a decisive effect on the empirical performance. Radial basis function (RBF) kernel with median heuristics is a common choice in previous approaches, but unfortunately this has proven to be sub-optimal. Inspired by the paradigm of Multiple Kernel Learning (MKL), our solution to this flaw is using a combination of multiple kernels to approximate the optimal kernel, rather than a single o…
Stanford University（斯坦福大学）；Preferred Networks；The Institute of Statistical Mathematics（统计数理研究所）
We formalize an equivalence between two popular methods for Bayesian inference: Stein variational gradient descent (SVGD) and black-box variational inference (BBVI). In particular, we show that BBVI corresponds precisely to SVGD when the kernel is the neural tangent kernel. Furthermore, we interpret SVGD and BBVI as kernel gradient flows; we do this by leveraging the recent perspective that views SVGD as a gradient flow in the space of probability distributions and showing that BBVI naturally motivates a Riemannian structure on that space. We observe that kernel gradient flow also describes dy…
Bosch-Delta Lab（博世-德尔塔实验室）；University of Amsterdam（阿姆斯特丹大学）
We focus on the problem of efficient sampling and learning of probability densities by incorporating symmetries in probabilistic models. We first introduce Equivariant Stein Variational Gradient Descent algorithm -- an equivariant sampling method based on Stein's identity for sampling from densities with symmetries. Equivariant SVGD explicitly incorporates symmetry information in a density through equivariant kernels which makes the resultant sampler efficient both in terms of sample complexity and the quality of generated samples. Subsequently, we define equivariant energy based models to mod…
Imperial College London（帝国理工学院）；University of Oxford（牛津大学）
Stein variational gradient descent (SVGD) is a deterministic particle inference algorithm that provides an efficient alternative to Markov chain Monte Carlo. However, SVGD has been found to suffer from variance underestimation when the dimensionality of the target distribution is high. Recent developments have advocated projecting both the score function and the data onto real lines to sidestep this issue, although this can severely overestimate the epistemic (model) uncertainty. In this work, we propose Grassmann Stein variational gradient descent (GSVGD) as an alternative approach, which per…
Stein Variational Gradient Descent (SVGD) is an important alternative to the Langevin-type algorithms for sampling from probability distributions of the form $π(x) \propto \exp(-V(x))$. In the existing theory of Langevin-type algorithms and SVGD, the potential function $V$ is often assumed to be $L$-smooth. However, this restrictive condition excludes a large class of potential functions such as polynomials of degree greater than $2$. Our paper studies the convergence of the SVGD algorithm for distributions with $(L_0,L_1)$-smooth potentials. This relaxed smoothness assumption was introduced b…
Institute of Mathematics, Universität Potsdam（波茨坦大学数学研究所）；WIAS Berlin（柏林应用分析与随机学研究所）
Stein variational gradient descent (SVGD) refers to a class of methods for Bayesian inference based on interacting particle systems. In this paper, we consider the originally proposed deterministic dynamics as well as a stochastic variant, each of which represent one of the two main paradigms in Bayesian computational statistics: variational inference and Markov chain Monte Carlo. As it turns out, these are tightly linked through a correspondence between gradient flow structures and large-deviation principles rooted in statistical physics. To expose this relationship, we develop the cotangent …
Courant Institute of Mathematical Sciences, New York University（纽约大学库朗数学科学研究所）
This work presents a multilevel variant of Stein variational gradient descent to more efficiently sample from target distributions. The key ingredient is a sequence of distributions with growing fidelity and costs that converges to the target distribution of interest. For example, such a sequence of distributions is given by a hierarchy of ever finer discretization levels of the forward model in Bayesian inverse problems. The proposed multilevel Stein variational gradient descent moves most of the iterations to lower, cheaper levels with the aim of requiring only a few iterations on the higher…
Particle based optimization algorithms have recently been developed as sampling methods that iteratively update a set of particles to approximate a target distribution. In particular Stein variational gradient descent has gained attention in the approximate inference literature for its flexibility and accuracy. We empirically explore the ability of this method to sample from multi-modal distributions and focus on two important issues: (i) the inability of the particles to escape from local modes and (ii) the inefficacy in reproducing the density of the different regions. We propose an annealin…
King Abdullah University of Science and Technology（阿卜杜拉国王科技大学）；KAUST（阿卜杜拉国王科技大学）
In this note, we establish a descent lemma for the population limit Mirrored Stein Variational Gradient Method~(MSVGD). This descent lemma does not rely on the path information of MSVGD but rather on a simple assumption for the mirrored distribution $\nablaΨ_{\#}π\propto\exp(-V)$. Our analysis demonstrates that MSVGD can be applied to a broader class of constrained sampling problems with non-smooth $V$. We also investigate the complexity of the population limit MSVGD in terms of dimension $d$.
Computer Science, Dartmouth College（达特茅斯学院计算机科学（系））；Computer Science, The University of Texas at Austin（德克萨斯大学奥斯汀分校计算机科学（系））
Stein variational gradient decent (SVGD) has been shown to be a powerful approximate inference algorithm for complex distributions. However, the standard SVGD requires calculating the gradient of the target density and cannot be applied when the gradient is unavailable. In this work, we develop a gradient-free variant of SVGD (GF-SVGD), which replaces the true gradient with a surrogate gradient, and corrects the induced bias by re-weighting the gradients in a proper form. We show that our GF-SVGD can be viewed as the standard SVGD with a special choice of kernel, and hence directly inherits th…
Imperial College London（帝国理工学院）；The Alan Turing Institute（艾伦·图灵研究所）；University of Edinburgh（爱丁堡大学）
Bayesian inference problems require sampling or approximating high-dimensional probability distributions. The focus of this paper is on the recently introduced Stein variational gradient descent methodology, a class of algorithms that rely on iterated steepest descent steps with respect to a reproducing kernel Hilbert space norm. This construction leads to interacting particle systems, the mean-field limit of which is a gradient flow on the space of probability distributions equipped with a certain geometrical structure. We leverage this viewpoint to shed some light on the convergence properti…
School of Information Science and Technology（信息科学与技术学院）；College of Mathematics and Statistics（数学与统计学院）；ShanghaiTech University（上海科技大学）；Chongqing University（重庆大学）
This paper introduces Distributed Stein Variational Gradient Descent (DSVGD), a non-parametric generalized Bayesian inference framework for federated learning. DSVGD maintains a number of non-random and interacting particles at a central server to represent the current iterate of the model global posterior. The particles are iteratively downloaded and updated by one of the agents with the end goal of minimizing the global free energy. By varying the number of particles, DSVGD enables a flexible trade-off between per-iteration communication load and number of communication rounds. DSVGD is show…
We show how to use Stein variational gradient descent (SVGD) to carry out inference in Gaussian process (GP) models with non-Gaussian likelihoods and large data volumes. Markov chain Monte Carlo (MCMC) is extremely computationally intensive for these situations, but the parametric assumptions required for efficient variational inference (VI) result in incorrect inference when they encounter the multi-modal posterior distributions that are common for such models. SVGD provides a non-parametric alternative to variational inference which is substantially faster than MCMC. We prove that for GP mod…
King Abdullah University of Science and Technology（阿卜杜拉国王科技大学）
Stein Variational Gradient Descent (SVGD) is a popular sampling algorithm used in various machine learning tasks. It is well known that SVGD arises from a discretization of the kernelized gradient flow of the Kullback-Leibler divergence $D_{KL}\left(\cdot\midπ\right)$, where $π$ is the target distribution. In this work, we propose to enhance SVGD via the introduction of importance weights, which leads to a new method for which we coin the name $β$-SVGD. In the continuous time and infinite particles regime, the time for this flow to converge to the equilibrium distribution $π$, quantified by th…
We propose a simple algorithm to train stochastic neural networks to draw samples from given target distributions for probabilistic inference. Our method is based on iteratively adjusting the neural network parameters so that the output changes along a Stein variational gradient direction (Liu & Wang, 2016) that maximally decreases the KL divergence with the target distribution. Our method works for any target distribution specified by their unnormalized density function, and can train any black-box architectures that are differentiable in terms of the parameters we want to adapt. We demonstra…
Bayesian Deep Learning for Remaining Useful Life Estimation via Stein Variational Gradient Descent
Concordia University（康考迪亚大学）；Gina Cody School of Engineering and Computer Science（吉娜·科迪工程与计算机科学学院）；Università degli Studi di Padova（帕多瓦大学）；Mila-Quebec AI Institute（米拉-魁北克人工智能研究所）
Microsoft Research New England（微软新英格兰研究院）；Microsoft Research Asia（微软亚洲研究院）
We introduce a new family of particle evolution samplers suitable for constrained domains and non-Euclidean geometries. Stein Variational Mirror Descent and Mirrored Stein Variational Gradient Descent minimize the Kullback-Leibler (KL) divergence to constrained target distributions by evolving particles in a dual space defined by a mirror map. Stein Variational Natural Gradient exploits non-Euclidean geometry to more efficiently minimize the KL divergence to unconstrained targets. We derive these samplers from a new class of mirrored Stein operators and adaptive kernels developed in this work.…
Department of Computer Science, The University of Texas at Austin（德克萨斯大学奥斯汀分校计算机科学系）；School of Mathematical Sciences, Zhejiang University（浙江大学数学科学学院）
We propose a novel distributed inference algorithm for continuous graphical models, by extending Stein variational gradient descent (SVGD) to leverage the Markov dependency structure of the distribution of interest. Our approach combines SVGD with a set of structured local kernel functions defined on the Markov blanket of each node, which alleviates the curse of high dimensionality and simultaneously yields a distributed algorithm for decentralized inference tasks. We justify our method with theoretical analysis and show that the use of local kernels can be viewed as a new type of localized ap…
Finite-Particle Rates for Regularized Stein Variational Gradient Descent
Department of Mathematics, Georgia Institute of Technology（佐治亚理工学院数学系）；Department of Statistics, University of California, Davis（加州大学戴维斯分校统计系）；Department of Statistics and Operations Research, University of North Carolina, Chapel Hill（北卡罗来纳大学夏洛特分校统计与运筹学系）；Department of Statistics, University of Chicago（芝加哥大学统计系）
Improved Finite-Particle Convergence Rates for Stein Variational Gradient Descent
Department of Statistics and Operations Research, University of North Carolina, Chapel Hill（统计与运筹学系，北卡罗来纳大学 Chapel Hill 分校）；Department of Statistics, University of California, Davis（统计系，加州大学 Davis 分校）；Department of Statistics, University of Chicago（统计系，芝加哥大学）
Bioinformatics Institute, A*STAR（新加坡科技研究局生物信息学研究所）；Huaiyin Normal University（淮阴师范学院）；Nanjing Normal University（南京师范大学）；University of Alberta（阿尔伯塔大学）
Generative adversarial networks (GANs), famous for the capability of learning complex underlying data distribution, are however known to be tricky in the training process, which would probably result in mode collapse or performance deterioration. Current approaches of dealing with GANs' issues almost utilize some practical training techniques for the purpose of regularization, which on the other hand undermines the convergence and theoretical soundness of GAN. In this paper, we propose to stabilize GAN training via a novel particle-based variational inference -- Langevin Stein variational grad…
ETH Zürich（苏黎世联邦理工学院）；Humboldt University of Berlin（柏林洪堡大学）
Ensembles of deep neural networks have achieved great success recently, but they do not offer a proper Bayesian justification. Moreover, while they allow for averaging of predictions over several hypotheses, they do not provide any guarantees for their diversity, leading to redundant solutions in function space. In contrast, particle-based inference methods, such as Stein variational gradient descent (SVGD), offer a Bayesian framework, but rely on the choice of a kernel to measure the similarity between ensemble members. In this work, we study different SVGD methods operating in the weight spa…
University of Texas at Austin（德克萨斯大学奥斯汀分校）；Stanford University（斯坦福大学）
Stein variational gradient descent (SVGD) is a general-purpose optimization-based sampling algorithm that has recently exploded in popularity, but is limited by two issues: it is known to produce biased samples, and it can be slow to converge on complicated distributions. A recently proposed stochastic variant of SVGD (sSVGD) addresses the first issue, producing unbiased samples by incorporating a special noise into the SVGD dynamics such that asymptotic convergence is guaranteed. Meanwhile, Stein variational Newton (SVN), a Newton-like extension of SVGD, dramatically accelerates the convergen…
University of Bath（巴斯大学）；The Alan Turing Institute（艾伦·图灵研究所）；Monash University（莫纳什大学）；Massachusetts Institute of Technology（麻省理工学院）；Heidelberg University（海德堡大学）
Gradient-based approximate inference methods, such as Stein variational gradient descent (SVGD), provide simple and general-purpose inference engines for differentiable continuous distributions. However, existing forms of SVGD cannot be directly applied to discrete distributions. In this work, we fill this gap by proposing a simple yet general framework that transforms discrete distributions to equivalent piecewise continuous distributions, on which the gradient-free SVGD is applied to perform efficient approximate inference. The empirical results show that our method outperforms traditional a…
Aalto University（阿尔托大学）；Department of Computer Science（计算机科学系）
Approximate Bayesian inference estimates descriptors of an intractable target distribution - in essence, an optimization problem within a family of distributions. For example, Langevin dynamics (LD) extracts asymptotically exact samples from a diffusion process because the time evolution of its marginal distributions constitutes a curve that minimizes the KL-divergence via steepest descent in the Wasserstein space. Parallel to LD, Stein variational gradient descent (SVGD) similarly minimizes the KL, albeit endowed with a novel Stein-Wasserstein distance, by deterministically transporting a set…
Particle-based approximate Bayesian inference approaches such as Stein Variational Gradient Descent (SVGD) combine the flexibility and convergence guarantees of sampling methods with the computational benefits of variational inference. In practice, SVGD relies on the choice of an appropriate kernel function, which impacts its ability to model the target distribution -- a challenging problem with only heuristic solutions. We propose Neural Variational Gradient Descent (NVGD), which is based on parameterizing the witness function of the Stein discrepancy by a deep neural network whose parameters…
Whisper.ai, Inc（Whisper.ai公司）；MPI for Intelligent Systems（马克斯·普朗克智能系统研究所）；Microsoft Research New England（微软研究院新英格兰分院）
Stein discrepancies (SDs) monitor convergence and non-convergence in approximate inference when exact integration and sampling are intractable. However, the computation of a Stein discrepancy can be prohibitive if the Stein operator - often a sum over likelihood terms or potentials - is expensive to evaluate. To address this deficiency, we show that stochastic Stein discrepancies (SSDs) based on subsampled approximations of the Stein operator inherit the convergence control properties of standard SDs with probability 1. Along the way, we establish the convergence of Stein variational gradient …
Particle-based variational inference offers a flexible way of approximating complex posterior distributions with a set of particles. In this paper we introduce a new particle-based variational inference method based on the theory of semi-discrete optimal transport. Instead of minimizing the KL divergence between the posterior and the variational approximation, we minimize a semi-discrete optimal transport divergence. The solution of the resulting optimal transport problem provides both a particle approximation and a set of optimal transportation densities that map each particle to a segment of…
