Manushi Welandawe

Manushi Welandawe, Michael Riis Andersen, Aki Vehtari et al.

Black-box variational inference (BBVI) now sees widespread use in machine learning and statistics as a fast yet flexible alternative to Markov chain Monte Carlo methods for approximate Bayesian inference. However, stochastic optimization methods for BBVI remain unreliable and require substantial expertise and hand-tuning to apply effectively. In this paper, we propose Robust and Automated Black-box VI (RABVI), a framework for improving the reliability of BBVI optimization. RABVI is based on rigorously justified automation techniques, includes just a small number of intuitive tuning parameters, and detects inaccurate estimates of the optimal variational approximation. RABVI adaptively decreases the learning rate by detecting convergence of the fixed--learning-rate iterates, then estimates the symmetrized Kullback--Leibler (KL) divergence between the current variational approximation and the optimal one. It also employs a novel optimization termination criterion that enables the user to balance desired accuracy against computational cost by comparing (i) the predicted relative decrease in the symmetrized KL divergence if a smaller learning were used and (ii) the predicted computation required to converge with the smaller learning rate. We validate the robustness and accuracy of RABVI through carefully designed simulation studies and on a diverse set of real-world model and data examples.

Akash Kumar Dhaka, Alejandro Catalina, Manushi Welandawe et al.

Current black-box variational inference (BBVI) methods require the user to make numerous design choices -- such as the selection of variational objective and approximating family -- yet there is little principled guidance on how to do so. We develop a conceptual framework and set of experimental tools to understand the effects of these choices, which we leverage to propose best practices for maximizing posterior approximation accuracy. Our approach is based on studying the pre-asymptotic tail behavior of the density ratios between the joint distribution and the variational approximation, then exploiting insights and tools from the importance sampling literature. Our framework and supporting experiments help to distinguish between the behavior of BBVI methods for approximating low-dimensional versus moderate-to-high-dimensional posteriors. In the latter case, we show that mass-covering variational objectives are difficult to optimize and do not improve accuracy, but flexible variational families can improve accuracy and the effectiveness of importance sampling -- at the cost of additional optimization challenges. Therefore, for moderate-to-high-dimensional posteriors we recommend using the (mode-seeking) exclusive KL divergence since it is the easiest to optimize, and improving the variational family or using model parameter transformations to make the posterior and optimal variational approximation more similar. On the other hand, in low-dimensional settings, we show that heavy-tailed variational families and mass-covering divergences are effective and can increase the chances that the approximation can be improved by importance sampling.