Stochastics & Statistics Seminar -David Blei (Columbia)
May 13, 2016 | 11-12pm | 32-123

Title: Scaling and Generalizing Variational Inference

Abstract: Latent variable models have become a key tool for the modern
statistician, letting us express complex assumptions about the hidden
structures that underlie our data. Latent variable models have been
successfully applied in numerous fields.

The central computational problem in latent variable modeling is
posterior inference, the problem of approximating the conditional
distribution of the latent variables given the observations.
Posterior inference is central to both exploratory tasks and
predictive tasks.  Approximate posterior inference algorithms have
revolutionized Bayesian statistics, revealing its potential as a
usable and general-purpose language for data analysis.

Bayesian statistics, however, has not yet reached this potential.
First, statisticians and scientists regularly encounter massive data
sets, but existing approximate inference algorithms do not scale well.
Second, most approximate inference algorithms are not generic; each
must be adapted to the specific model at hand.

In this talk I will discuss our recent research on addressing these
two limitations.  I will describe stochastic variational inference, an
approximate inference algorithm for handling massive data sets.  I
will demonstrate its application to probabilistic topic models of text
conditioned on millions of articles. Then I will discuss black box
variational inference.  Black box inference is a generic algorithm for
approximating the posterior.  We can easily apply it to many models
with little model-specific derivation and few restrictions on their
properties.  I will demonstrate its use on longitudinal models of
healthcare data, deep exponential families, and discuss a new
black-box variational inference algorithm in the Stan programming

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