论文标题

贝叶斯通过稀疏的哈密顿流量推断

Bayesian inference via sparse Hamiltonian flows

论文作者

Chen, Naitong, Xu, Zuheng, Campbell, Trevor

论文摘要

贝叶斯核心是一个小的,加权的数据子集,可在贝叶斯推断期间取代完整数据集,目的是降低计算成本。尽管过去的工作在经验上表明,通常存在一个核心,但有效地构建这种核心仍然是一个挑战。当前的方法往往很慢,需要核心结构后的二次推理步骤,并且不提供数据边缘证据的界限。在这项工作中,我们介绍了一种新方法 - 稀疏的哈密顿流动 - 解决了所有这三个挑战。该方法涉及首先对数据进行统一的二次采样,然后优化通过核心权重参数参数的哈密顿流量,并包括定期动量准确反应步骤。理论结果表明,该方法可以在代表模型中对数据集进行指数压缩,并且准回报步骤降低了KL对目标的差异。实际和合成的实验表明,与基于动态系统的推理方法相比,稀疏的哈密顿流量可提供准确的后近似值,其运行时大大减少。

A Bayesian coreset is a small, weighted subset of data that replaces the full dataset during Bayesian inference, with the goal of reducing computational cost. Although past work has shown empirically that there often exists a coreset with low inferential error, efficiently constructing such a coreset remains a challenge. Current methods tend to be slow, require a secondary inference step after coreset construction, and do not provide bounds on the data marginal evidence. In this work, we introduce a new method -- sparse Hamiltonian flows -- that addresses all three of these challenges. The method involves first subsampling the data uniformly, and then optimizing a Hamiltonian flow parametrized by coreset weights and including periodic momentum quasi-refreshment steps. Theoretical results show that the method enables an exponential compression of the dataset in a representative model, and that the quasi-refreshment steps reduce the KL divergence to the target. Real and synthetic experiments demonstrate that sparse Hamiltonian flows provide accurate posterior approximations with significantly reduced runtime compared with competing dynamical-system-based inference methods.

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