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ADVI

swMATH ID: 34040
Software Authors: Kucukelbir, Alp; Ranganath, Rajesh; Gelman, Andrew; Blei, David M.
Description: Automatic Variational Inference in Stan. Variational inference is a scalable technique for approximate Bayesian inference. Deriving variational inference algorithms requires tedious model-specific calculations; this makes it difficult to automate. We propose an automatic variational inference algorithm, automatic differentiation variational inference (ADVI). The user only provides a Bayesian model and a dataset; nothing else. We make no conjugacy assumptions and support a broad class of models. The algorithm automatically determines an appropriate variational family and optimizes the variational objective. We implement ADVI in Stan (code available now), a probabilistic programming framework. We compare ADVI to MCMC sampling across hierarchical generalized linear models, nonconjugate matrix factorization, and a mixture model. We train the mixture model on a quarter million images. With ADVI we can use variational inference on any model we write in Stan.
Homepage: https://arxiv.org/abs/1506.03431
Dependencies: Stan
Keywords: Machine Learning; arXiv_stat.ML; Stan; Variational Inference; Bayesian inference; probabilistic programming; Automatic
Related Software: Stan; PRMLT; ADADELTA; Adam; R; BayesDA; NUTS; AdaGrad; PyTorch; TensorFlow; RStan; DiffSharp; RMSprop; JAGS; PMTK; Edward; R-INLA; SciPy; bfa; GitHub
Cited in: 60 Documents

Standard Articles

2 Publications describing the Software, including 1 Publication in zbMATH Year
Automatic differentiation variational inference. Zbl 1437.62109
Kucukelbir, Alp; Tran, Dustin; Ranganath, Rajesh; Gelman, Andrew; Blei, David M.
2017
Automatic Variational Inference in Stan arXiv
Alp Kucukelbir, Rajesh Ranganath, Andrew Gelman, David M. Blei
2015
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Cited by 188 Authors

9 Nott, David John
5 Smith, Michael Stanley
4 Blei, David M.
3 Gelman, Andrew
3 Loaiza-Maya, Rubén
3 Srivastava, Sanvesh
2 Broderick, Tamara
2 Giordano, Ryan
2 Jordan, Michael Irwin
2 Kejzlar, Vojtech
2 MacNab, Ying Cai
2 Maiti, Tapabrata
2 Ong, Victor M. H.
2 Rue, Håvard
2 Tran, Minh Ngoc
2 Vehtari, Aki
2 Wang, Yixin
1 Aastveit, Knut Are
1 Akbayrak, Semih
1 Aliverti, Emanuele
1 Andrade, Daniel
1 Ascolani, Filippo
1 Azzimonti, Laura
1 Bakka, Haakon C.
1 Balasubramanian, Krishnakumar
1 Barajas-Solano, David A.
1 Baydin, Atılım Güneş
1 Belitser, Eduard
1 Beskos, Alexandros
1 Bharath, Karthik
1 Bhattacharya, Shrijita
1 Bilionis, Ilias
1 Bokrantz, Rasmus
1 Bouchard-Côté, Alexandre
1 Brinkerhoff, Douglas J.
1 Campbell, Trevor
1 Castro-Camilo, Daniela
1 Catalano, Marta
1 Chang, Joseph T.
1 Chen, Xinyuan
1 Clarke, Bertrand S.
1 Clyde, Merlise A.
1 Coelho Lima, Isabela
1 Corander, Jukka
1 Corani, Giorgio
1 Danaher, Peter J.
1 Dauwels, Justin
1 David, Lawrence A.
1 Dawid, Alexander Philip
1 de Heide, Rianne
1 De Iorio, Maria
1 De Souza, Camila P. E.
1 De Vries, Bert J. M.
1 Dias, Ronaldo
1 Drori, Iddo
1 Drovandi, Christopher C.
1 Dunson, David Brian
1 Duraisamy, Karthik
1 Englert, Berthold-Georg
1 Evans, Michael John
1 Fasano, Augusto
1 Fearnhead, Paul
1 Feng, Xiangnan
1 Ferreira, Marco A. R.
1 Franck, Christopher T.
1 Franco-Villoria, Maria
1 Franzolini, Beatrice
1 Frazier, David T.
1 Freni-Sterrantino, Anna
1 Fukumizu, Kenji
1 Galeano, Pedro
1 Gerstung, Moritz
1 Ghadimi, Saeed
1 Goplerud, Max
1 Grünwald, Peter D.
1 Grushka-Cockayne, Yael
1 Guha, Subarup
1 Hao, Jie
1 He, Wenqing
1 Hoffman, Matthew D.
1 Holmes, Zachary C.
1 Hoogerheide, Lennart F.
1 Huser, Raphaël
1 Iacopini, Matteo
1 Jo, Seongil
1 Jose, Victor Richmond R.
1 Jung, Alexander Wolfgang
1 Kadoke, Daniel
1 Kalogeropoulos, Konstantinos
1 Karimi, Belhal
1 Karumuri, Sharmila
1 Kelter, Riko
1 Kim, Jaeoh
1 Klein, Nadja
1 Kock, Lucas
1 Kohn, Robert J.
1 Koutsourelakis, Phaedon-Stelios
1 Kucukelbir, Alp
1 Kurtek, Sebastian
1 Lavielle, Marc
...and 88 more Authors

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