Statistics > Machine Learning
[Submitted on 9 Sep 2015 (v1), last revised 28 Mar 2017 (this version, v2)]
Title:Fast Second-Order Stochastic Backpropagation for Variational Inference
View PDFAbstract:We propose a second-order (Hessian or Hessian-free) based optimization method for variational inference inspired by Gaussian backpropagation, and argue that quasi-Newton optimization can be developed as well. This is accomplished by generalizing the gradient computation in stochastic backpropagation via a reparametrization trick with lower complexity. As an illustrative example, we apply this approach to the problems of Bayesian logistic regression and variational auto-encoder (VAE). Additionally, we compute bounds on the estimator variance of intractable expectations for the family of Lipschitz continuous function. Our method is practical, scalable and model free. We demonstrate our method on several real-world datasets and provide comparisons with other stochastic gradient methods to show substantial enhancement in convergence rates.
Submission history
From: Kai Fan [view email][v1] Wed, 9 Sep 2015 17:44:37 UTC (3,494 KB)
[v2] Tue, 28 Mar 2017 19:53:32 UTC (1,527 KB)
References & Citations
Bibliographic and Citation Tools
Bibliographic Explorer (What is the Explorer?)
Litmaps (What is Litmaps?)
scite Smart Citations (What are Smart Citations?)
Code, Data and Media Associated with this Article
CatalyzeX Code Finder for Papers (What is CatalyzeX?)
DagsHub (What is DagsHub?)
Gotit.pub (What is GotitPub?)
Papers with Code (What is Papers with Code?)
ScienceCast (What is ScienceCast?)
Demos
Recommenders and Search Tools
Influence Flower (What are Influence Flowers?)
Connected Papers (What is Connected Papers?)
CORE Recommender (What is CORE?)
arXivLabs: experimental projects with community collaborators
arXivLabs is a framework that allows collaborators to develop and share new arXiv features directly on our website.
Both individuals and organizations that work with arXivLabs have embraced and accepted our values of openness, community, excellence, and user data privacy. arXiv is committed to these values and only works with partners that adhere to them.
Have an idea for a project that will add value for arXiv's community? Learn more about arXivLabs.