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ADVI

swMATH ID: 34040
Software Authors: Alp Kucukelbir, Rajesh Ranganath, Andrew Gelman, David M. Blei
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; NUTS; R; ADADELTA; RStan; BayesDA; Edward; Adam; RMSprop; AdaGrad; TensorFlow; PyTorch; aplore3; bfa; rstan; JAGS; Theano; Church; Venture
Referenced in: 34 Publications

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
Alp Kucukelbir, Rajesh Ranganath, Andrew Gelman, David M. Blei
2015
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Referenced by 107 Authors

6 Nott, David John
4 Blei, David M.
3 Smith, Michael Stanley
2 Gelman, Andrew
2 Loaiza-Maya, Rubén
2 Ong, Victor M. H.
2 Srivastava, Sanvesh
2 Tran, Minh Ngoc
2 Wang, Yixin
1 Aastveit, Knut Are
1 Aliverti, Emanuele
1 Andrade, Daniel
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 Brinkerhoff, Douglas J.
1 Broderick, Tamara
1 Castro-Camilo, Daniela
1 Clarke, Bertrand S.
1 Clyde, Merlise A.
1 Corani, Giorgio
1 Dauwels, Justin
1 de Heide, Rianne
1 De Iorio, Maria
1 Drori, Iddo
1 Drovandi, Christopher C.
1 Dunson, David Brian
1 Duraisamy, Karthik
1 Englert, Berthold-Georg
1 Evans, Michael John
1 Fearnhead, Paul
1 Ferreira, Marco A. R.
1 Franck, Christopher T.
1 Franco-Villoria, Maria
1 Freni-Sterrantino, Anna
1 Fukumizu, Kenji
1 Galeano, Pedro
1 Ghadimi, Saeed
1 Giordano, Ryan
1 Grünwald, Peter D.
1 Grushka-Cockayne, Yael
1 Hao, Jie
1 Hoffman, Matthew D.
1 Hoogerheide, Lennart F.
1 Huser, Raphaël
1 Iacopini, Matteo
1 Jordan, Michael Irwin
1 Jose, Victor Richmond R.
1 Karimi, Belhal
1 Kelter, Riko
1 Kohn, Robert J.
1 Kucukelbir, Alp
1 Kurtek, Sebastian
1 Lavielle, Marc
1 Li, Cheng
1 Li, Meng
1 Lichtendahl, Kenneth C. jun.
1 Longtin, André
1 Macke, Jakob H.
1 MacNab, Ying Cai
1 Mandt, Stephan
1 McAlinn, Kenichiro
1 McLean, Mathew W.
1 Moulines, Eric
1 Nemeth, Christopher
1 Nurushev, Nurzhan
1 Opitz, Thomas
1 Pan, Shaowu
1 Pearlmutter, Barak A.
1 Pericchi, Luis Raul
1 Radul, Alexey Andreyevich
1 Ranganath, Rajesh
1 René, Alexandre
1 Roy, Abhishek
1 Rue, Håvard
1 Russo, Massimiliano
1 Saha, Abhijoy
1 Shen, Lingqing
1 Shin, Minsuk
1 Simpson, Daniel Peter
1 Siskind, Jeffrey Mark
1 Sisson, Scott A.
1 Takeda, Akiko
1 Tan, Linda S. L.
1 Tartakovsky, Alexandre M.
1 Tonellato, Stefano F.
1 Tran, Dustin
1 van Dijk, Herman K.
1 Vehtari, Aki
1 Wand, Matthew P.
1 Wang, Xueou
1 West, Mike
1 Winkler, Robert L.
1 Wu, Songwei
1 Xin, Luyin
...and 7 more Authors

Referencing Publications by Year