Variational Method

From Ioannis Kourouklides
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This page contains resources about Variational Methods, Variational Bayesian Inference, Variational Bayesian Learning and Deterministic Approximate Inference.

Subfields and Concepts[edit]

  • Variational Calculus / Calculus of Variations
  • Variational Analysis‎
  • Variational free energy
  • Free energy principle
  • Conjugate Duality
  • Exponential family
  • Conjugate prior family
  • Variance reduction techniques (VRT) in Monte Carlo Gradients
    • Control variates
    • Rao–Blackwellization
    • By linear regression
    • Reparameterization trick / Reparameterization Gradient / Coordinate Tranformation / Invertible Tranformation / Elliptical Standarization
    • Local Expectation Gradient
    • Importance Sampling
    • Generalized Reparameterization (G-REP) Gradient
  • Gradient Estimators
    • Score Function (SF) Estimator
    • Pathwise Derivative (PD) Estimator
    • Reparameterization Gradient
    • Generalized Reparameterization (G-REP) Gradient
  • Evidence Lower Bound (ELBO) / Variational Lower Bound
  • Structured Variational Inference
  • Kullback–Leibler (KL) Divergence
  • Variational Bayes
  • Variational Bayesian EM (VBEM)
  • Stochastic Variational Inference
  • Stochastic Gradient-based Variational Inference
  • Stochastic Gradient Variational Bayes (SGVB) Estimator
  • Deep Variational Bayes Filter (DVBF)
  • Wake-Sleep Algorithm
  • Auto-Encoding Variational Bayes (AEVB) Algorithm
  • Variational Autoencoder (VAE)
  • Hierarchical Variational Models
  • Expectation Propagation
    • Loopy Belief Propagation / Loopy Sum-Product Message Passing
    • Assumed Density Filtering (ADF) / Moment Matching
  • Kullback-Leibler (KL) Variational Inference / Mean field Variational Bayes
    • Structured Mean field / Structured Variational Approximation
    • Weighted Mean Field
  • Tree-based reparameterizations
  • Tree-reweighted belief propagation
  • Bethe and Kikuchi free energy
  • Generalized Belief Propagation
  • Forwared KL divergence / Moment Projection (M-Projection)
  • Reverse KL divergence / Information Projection (I-Projection)
  • Online Bayesian Variational (OBV) Inference Algorithms
  • Neural Variational Inference and Learning (NVIL)
  • Non-conjugate Variational Inference
  • Rejection Sampling Variational Inference (RSVI)
  • Reinforced Variational Inference
  • Generic and Automated Variation Inference
    • Black-Box Variational Inference (BBVI)
    • Automatic Variational Inference (AVI)
    • Automatic Differentiation Variational Inference (ADVI)
    • Generalized Reparameterization (G-REP) Gradient
    • SGVB with local expectation gradients (LeGrad)
    • SGVB with reparametrization-based gradient (ReGrad) / Reparameterization trick
    • SGVB with the log derivative trick (LdGrad) / Score Function Method 
  • Overdispersed BBVI (O-BBVI)
  • Stochastic Optimization
    • Gradient Ascend on ELBO
  • Stochastic Approximation
    • Robbins-Monro Algorithm (using noisy estimates of the gradient)
  • Energy-Based Model (EBM)
    • Free energy (i.e. the contrastive term)
    • Regularization term
    • Loss functionals or Loss functions or Energy functionals
      • Energy Loss
      • Generalized Perceptron Loss
      • Generalized Margin Losses
      • Negative Log-Likelihood Loss

Online Courses[edit]

Video Lectures[edit]


Lecture Notes[edit]

Books and Book Chapters[edit]

  • Kingma, D. P. (2017). Variational Inference & Deep Learning: A New Synthesis. Ridderprint.
  • Bengio, Y., Goodfellow, I. J., & Courville, A. (2016). "Chapter 19: Approximate Inference". Deep Learning. MIT Press.
  • Theodoridis, S. (2015). "Chapter 13: Bayesian Learning: Approximate Inference and Nonparametric Models". Machine Learning: A Bayesian and Optimization Perspective. Academic Press.
  • Murphy, K. P. (2012). "Chapter 21: Variational inference". Machine Learning: A Probabilistic Perspective. MIT Press.
  • Barber, D. (2012). "Section 7.7: Variational Inference and Planning". Bayesian Reasoning and Machine Learning. Cambridge University Press.
  • Barber, D. (2012). "Chapter 11: Learning with Hidden Variables". Bayesian Reasoning and Machine Learning. Cambridge University Press.
  • Barber, D. (2012). "Chapter 28: Deterministic Approximate Inference". Bayesian Reasoning and Machine Learning. Cambridge University Press.
  • Koller, D., & Friedman, N. (2009). "Chapter 11: Inference as Optimization". Probabilistic Graphical Models. MIT Press.
  • Bishop, C. M. (2006). "Chapter 10: Approximate Inference". Pattern Recognition and Machine Learning. Springer.
  • MacKay, D. J. (2003). "Chapter 33: Variational Methods" Information Theory, Inference and Learning Algorithms. Cambridge University Press.
  • Opper, M., & Saad, D. (2001). Advanced mean field methods: Theory and practice. MIT press.

Scholarly Articles[edit]

  • Fortunato, M., Blundell, C., & Vinyals, O. (2017). Bayesian recurrent neural networks. arXiv preprint arXiv:1704.02798.
  • Ruiz, F. J., Titsias, M. K., & Blei, D. M. (2016). The Generalized Reparameterization Gradient. arXiv preprint arXiv:1610.02287.
  • Ruiz, F. J., Titsias, M. K., & Blei, D. M. (2016). Overdispersed Black-Box Variational Inference. arXiv preprint arXiv:1603.01140.
  • Blei, D. M., Kucukelbir, A., & McAuliffe, J. D. (2016). Variational inference: A review for statisticians. arXiv preprint arXiv:1601.00670.
  • Mandt, S., Hoffman, M. D., & Blei, D. M. (2016). A Variational Analysis of Stochastic Gradient Algorithms. arXiv preprint arXiv:1602.02666.
  • Naesseth, C. A., Ruiz, F. J., Linderman, S. W., & Blei, D. M. (2016). Rejection Sampling Variational Inference. arXiv preprint arXiv:1610.05683.
  • Kucukelbir, A., Tran, D., Ranganath, R., Gelman, A., & Blei, D. M. (2016). Automatic Differentiation Variational Inference. arXiv preprint arXiv:1603.00788.
  • Kucukelbir, A., Ranganath, R., Gelman, A., & Blei, D. (2015). Automatic variational inference in Stan. In Advances in Neural Information Processing Systems (pp. 568-576).
  • Blundell, C., Cornebise, J., Kavukcuoglu, K., & Wierstra, D. (2015). Weight Uncertainty in Neural Network. In International Conference on Machine Learning (pp. 1613-1622).
  • Schulman, J., Heess, N., Weber, T., & Abbeel, P. (2015). Gradient estimation using stochastic computation graphs. In Advances in Neural Information Processing Systems (pp. 3528-3536).
  • Titsias, M., & Lazaro-Gredilla, M. (2015). Local expectation gradients for black box variational inference. In Advances in Neural Information Processing Systems (pp. 2638-2646).
  • Archer, E., Park, I. M., Buesing, L., Cunningham, J., & Paninski, L. (2015). Black box variational inference for state space models. arXiv preprint arXiv:1511.07367.
  • Hoffman, M. D., & Blei, D. M. (2015). Structured stochastic variational inference. In Artificial Intelligence and Statistics.
  • Kucukelbir, A., Ranganath, R., Gelman, A., & Blei, D. (2014). Fully automatic variational inference of differentiable probability models. In NIPS Workshop on Probabilistic Programming.
  • Salimans, T., & Knowles, D. A. (2014). On using control variates with stochastic approximation for variational Bayes and its connection to stochastic linear regression. arXiv preprint arXiv:1401.1022.
  • Ranganath, R., Gerrish, S., & Blei, D. M. (2014). Black Box Variational Inference. In AISTATS (pp. 814-822).
  • Lazaro-Gredilla, M. (2014). Doubly stochastic variational Bayes for non-conjugate inference. In Proceedings of the 31st International Conference on Machine Learning (pp. 1971-1979).
  • Mnih, A., & Gregor, K. (2014). Neural variational inference and learning in belief networks. arXiv preprint arXiv:1402.0030.
  • Salimans, T., & Knowles, D. A. (2013). Fixed-form variational posterior approximation through stochastic linear regression. Bayesian Analysis8(4), 837-882.
  • Hoffman, M. D., Blei, D. M., Wang, C., & Paisley, J. W. (2013). Stochastic variational inference.Journal of Machine Learning Research14(1), 1303-1347.
  • Wingate, D., & Weber, T. (2013). Automated variational inference in probabilistic programming. arXiv preprint arXiv:1301.1299.
  • Wang, C., & Blei, D. M. (2013). Variational inference in nonconjugate models. Journal of Machine Learning Research14(Apr), 1005-1031.
  • Fox, C. W., & Roberts, S. J. (2012). A tutorial on variational Bayesian inference. Artificial intelligence review38(2), 85-95.
  • Paisley, J., Blei, D., & Jordan, M. (2012). Variational Bayesian inference with stochastic search. arXiv preprint arXiv:1206.6430.
  • Knowles, D. A., & Minka, T. (2011). Non-conjugate variational message passing for multinomial and binary regression. In Advances in Neural Information Processing Systems (pp. 1701-1709).
  • Wainwright, M. J., & Jordan, M. I. (2008). Graphical models, exponential families, and variational inference. Foundations and Trends® in Machine Learning1(1-2), 1-305.
  • Tzikas, D. G., Likas, A. C., & Galatsanos, N. P. (2008). The variational approximation for Bayesian inference. IEEE Signal Processing Magazine,25(6), 131-146.
  • Wainwright, M., & Jordan, M. (2005). A variational principle for graphical models. New Directions in Statistical Signal Processing155.
  • Yedidia, J. S., Freeman, W. T., & Weiss, Y. (2005). Constructing free-energy approximations and generalized belief propagation algorithms. IEEE Transactions on Information Theory51(7), 2282-2312.
  • Beal, M. J. (2003). Variational algorithms for approximate Bayesian inference. Ph.D. Dissertation, University College London.
  • Xing, E. P., Jordan, M. I., & Russell, S. (2003). A generalized mean field algorithm for variational inference in exponential families. In Proceedings of the Nineteenth conference on Uncertainty in Artificial Intelligence (pp. 583-591). Morgan Kaufmann Publishers Inc.
  • Wainwright, M. J., & Jordan, M. I. (2003). Variational inference in graphical models: The view from the marginal polytope. In Proceeding of Annual Allerton Conference of Communication Control and Computing (Vol. 41, No. 2, pp. 961-971).
  • Lawrence, N. D. (2001). Variational inference in probabilistic models. Ph.D. Dissertation, University of Cambridge.
  • Minka, T. P. (2001). A family of algorithms for approximate Bayesian inference. Ph.D. Dissertation, Massachusetts Institute of Technology.
  • Ghahramani, Z., & Beal, M. J. (2001). Propagation algorithms for variational Bayesian learning. In Advances in Neural Information Processing Systems, 507-513.
  • Attias, H. (2000). A variational Bayesian framework for graphical models. In Advances in Neural Information Processing Systems, 209-215.
  • Jordan, M. I., Ghahramani, Z., Jaakkola, T. S., & Saul, L. K. (1999). An introduction to variational methods for graphical models. Machine learning,37(2), 183-233.

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