In Bayesian inference, the posterior distributions are difficult to obtain analytically for complex models such as neural networks. Variational inference usually uses a parametric distribution for approximation, from which we can easily draw samples. Recently discrete approximation by particles has attracted attention because of its high expression ability. An example is Stein variational gradient descent (SVGD), which iteratively optimizes particles. Although SVGD has been shown to be computationally efficient empirically, its theoretical properties have not been clarified yet and no finite sample bound of the convergence rate is known. Another example is the Stein points (SP) method, which minimizes kernelized Stein discrepancy directly. Although a finite sample bound is assured theoretically, SP is computationally inefficient empirically, especially in high-dimensional problems. In this paper, we propose a novel method named maximum mean discrepancy minimization by the Frank-Wolfe algorithm (MMD-FW), which minimizes MMD in a greedy way by the FW algorithm. Our method is computationally efficient empirically and we show that its finite sample convergence bound is in a linear order in finite dimensions.
* Other related work Recently, there has been a tendency to combine an approximation of the posterior with optimization methods, which assures us of some theoretical guarantee, e.g, @cite_21 @cite_10 . Our approach also performs discrete approximation by convex optimization in an RKHS. Another related example is sequential kernel herding @cite_16 . They applied the FW algorithm to particle filtering in state space models. While their method focused on the state space models, our proposed method is a general approximation method for Bayesian inference.
@cite_21 @cite_10 @cite_16
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Variational Inference is a popular technique to approximate a possibly intractable Bayesian posterior with a more tractable one. Recently, Boosting Variational Inference has been proposed as a new paradigm to approximate the posterior by a mixture of densities by greedily adding components to the mixture. In the present work, we study the convergence properties of this approach from a modern optimization viewpoint by establishing connections to the classic Frank-Wolfe algorithm. Our analyses yields novel theoretical insights on the Boosting of Variational Inference regarding the sufficient conditions for convergence, explicit sublinear linear rates, and algorithmic simplifications. Recently, the Frank-Wolfe optimization algorithm was suggested as a procedure to obtain adaptive quadrature rules for integrals of functions in a reproducing kernel Hilbert space (RKHS) with a potentially faster rate of convergence than Monte Carlo integration (and "kernel herding" was shown to be a special case of this procedure). In this paper, we propose to replace the random sampling step in a particle filter by Frank-Wolfe optimization. By optimizing the position of the particles, we can obtain better accuracy than random or quasi-Monte Carlo sampling. In applications where the evaluation of the emission probabilities is expensive (such as in robot localization), the additional computational cost to generate the particles through optimization can be justified. Experiments on standard synthetic examples as well as on a robot localization task indicate indeed an improvement of accuracy over random and quasi-Monte Carlo sampling.