A mini-batch Metropolis-Hastings algorithm has an approximately tempered stationary distribution, provably preserves posterior modes, and pairs with a reversible stochastic-gradient proposal for high-dimensional neural network training.
An Instability in Variational Inference for Topic Models
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abstract
Topic models are Bayesian models that are frequently used to capture the latent structure of certain corpora of documents or images. Each data element in such a corpus (for instance each item in a collection of scientific articles) is regarded as a convex combination of a small number of vectors corresponding to `topics' or `components'. The weights are assumed to have a Dirichlet prior distribution. The standard approach towards approximating the posterior is to use variational inference algorithms, and in particular a mean field approximation. We show that this approach suffers from an instability that can produce misleading conclusions. Namely, for certain regimes of the model parameters, variational inference outputs a non-trivial decomposition into topics. However --for the same parameter values-- the data contain no actual information about the true decomposition, and hence the output of the algorithm is uncorrelated with the true topic decomposition. Among other consequences, the estimated posterior mean is significantly wrong, and estimated Bayesian credible regions do not achieve the nominal coverage. We discuss how this instability is remedied by more accurate mean field approximations.
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Mini-batch Metropolis-Hastings MCMC with Reversible SGLD Proposal
A mini-batch Metropolis-Hastings algorithm has an approximately tempered stationary distribution, provably preserves posterior modes, and pairs with a reversible stochastic-gradient proposal for high-dimensional neural network training.