Automatic Variational Inference in Stan — mentioned by proditus

Sat, 19 Sep 2015 19:08:51 GMT

glad to see the enthusiasm! ADVI [1] is a variant of BBVI [2] where we fully leverage all of the amazing things that Stan has to offer (like automatic differentiation and automatic transformations of constrained parameters). you can use ADVI to get an approximation to the Bayesian posterior. the advantage of using ADVI over sampling is that ADVI is typically faster for large models (both in terms of # of parameters and # of data observations). ADVI also a bit better at handling models with multi-modal posteriors, such as mixture models. ADVI is currently in cmdStan (but not in RStan or…

Paper and discussion history. A mention is not an endorsement.

Automatic Variational Inference in Stan — mentioned by probdist

Sat, 19 Sep 2015 17:37:44 GMT

Haven't tried ADVI yet, but I think it is (likely) a great idea. In general automatic differentiation is a wildly powerful technique and is underutilized in computational science. Even in pure optimization problems people rarely leverage it to get J or H information as often as they probably should. I'll admit to not being super familiar with all the machinery under the hood in the ADVI paper [1]. It wasn't out when I started working on my current project. [1] http://arxiv.org/abs/1506.03431

Paper and discussion history. A mention is not an endorsement.

Automatic Variational Inference in Stan · HackerPapers discussions

Automatic Variational Inference in Stan — mentioned by proditus

Automatic Variational Inference in Stan — mentioned by probdist