Manifold Optimization-Assisted Gaussian Variational Approximation. Issue 4 (2nd October 2021)

• Record Type: Journal Article
• Authors: Zhou, Bingxin; Gao, Junbin; Tran, Minh-Ngoc; Gerlach, Richard
• Is Part Of: Journal of computational and graphical statistics. Volume 30:Issue 4(2021)
• Page Start: 946
• Page End: 957
• Publication Date: 2021-10-02
• Subjects: Bayesian variational auto-encoder -- Grassmann manifolds -- Riemannian manifolds -- Riemannian stochastic gradient method -- Stiefel manifolds; Mathematical statistics -- Data processing -- Periodicals; Mathematical statistics -- Graphic methods -- Periodicals; 519.50285
• DOI: 10.1080/10618600.2021.1923516
• Languages: English
• ISSNs: 1061-8600

Abstract

Abstract: Gaussian variational approximation is a popular methodology to approximate posterior distributions in Bayesian inference, especially in high-dimensional and large data settings. To control the computational cost, while being able to capture the correlations among the variables, the low rank plus diagonal structure was introduced in the previous literature for the Gaussian covariance matrix. For a specific Bayesian learning task, the uniqueness of the solution is usually ensured by imposing stringent constraints on the parameterized covariance matrix, which could break down during the optimization process. In this article, we consider two special covariance structures by applying the Stiefel manifold and Grassmann manifold constraints, to address the optimization difficulty in such factorization architectures. To speed up the updating process with minimum hyperparameter-tuning efforts, we design two new schemes of Riemannian stochastic gradient descent methods and compare them with other existing methods of optimizing on manifolds. In addition to fixing the identification issue, results from both simulation and empirical experiments prove the ability of the proposed methods of obtaining competitive accuracy and comparable converge speed in both high-dimensional and large-scale learning tasks. Supplementary materials for this article are available online.