Independent finite approximations for Bayesian nonparametric inference
This work addresses computational bottlenecks in Bayesian nonparametrics for researchers and practitioners, but it is incremental as it builds on existing finite approximation methods.
The authors tackled the challenge of finite approximations for Bayesian nonparametric inference by proposing the automated independent finite approximation (AIFA), which facilitates easier derivations and parallel computing compared to truncated finite approximations (TFAs). They provided upper bounds on approximation error for common models, showing that AIFAs and TFAs perform similarly in real-data experiments.
Completely random measures (CRMs) and their normalizations (NCRMs) offer flexible models in Bayesian nonparametrics. But their infinite dimensionality presents challenges for inference. Two popular finite approximations are truncated finite approximations (TFAs) and independent finite approximations (IFAs). While the former have been well-studied, IFAs lack similarly general bounds on approximation error, and there has been no systematic comparison between the two options. In the present work, we propose a general recipe to construct practical finite-dimensional approximations for homogeneous CRMs and NCRMs, in the presence or absence of power laws. We call our construction the automated independent finite approximation (AIFA). Relative to TFAs, we show that AIFAs facilitate more straightforward derivations and use of parallel computing in approximate inference. We upper bound the approximation error of AIFAs for a wide class of common CRMs and NCRMs -- and thereby develop guidelines for choosing the approximation level. Our lower bounds in key cases suggest that our upper bounds are tight. We prove that, for worst-case choices of observation likelihoods, TFAs are more efficient than AIFAs. Conversely, we find that in real-data experiments with standard likelihoods, AIFAs and TFAs perform similarly. Moreover, we demonstrate that AIFAs can be used for hyperparameter estimation even when other potential IFA options struggle or do not apply.