Markov Chain Score Ascent: A Unifying Framework of Variational Inference with Markovian Gradients

Kyurae Kim, Jisu Oh, Jacob R. Gardner, Adji Bousso Dieng, Hongseok Kim

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Scopus citations

Abstract

Minimizing the inclusive Kullback-Leibler (KL) divergence with stochastic gradient descent (SGD) is challenging since its gradient is defined as an integral over the posterior. Recently, multiple methods have been proposed to run SGD with biased gradient estimates obtained from a Markov chain. This paper provides the first non-asymptotic convergence analysis of these methods by establishing their mixing rate and gradient variance. To do this, we demonstrate that these methods-which we collectively refer to as Markov chain score ascent (MCSA) methods-can be cast as special cases of the Markov chain gradient descent framework. Furthermore, by leveraging this new understanding, we develop a novel MCSA scheme, parallel MCSA (pMCSA), that achieves a tighter bound on the gradient variance. We demonstrate that this improved theoretical result translates to superior empirical performance.

Original languageEnglish (US)
Title of host publicationAdvances in Neural Information Processing Systems 35 - 36th Conference on Neural Information Processing Systems, NeurIPS 2022
EditorsS. Koyejo, S. Mohamed, A. Agarwal, D. Belgrave, K. Cho, A. Oh
PublisherNeural information processing systems foundation
ISBN (Electronic)9781713871088
StatePublished - 2022
Event36th Conference on Neural Information Processing Systems, NeurIPS 2022 - New Orleans, United States
Duration: Nov 28 2022Dec 9 2022

Publication series

NameAdvances in Neural Information Processing Systems
Volume35
ISSN (Print)1049-5258

Conference

Conference36th Conference on Neural Information Processing Systems, NeurIPS 2022
Country/TerritoryUnited States
CityNew Orleans
Period11/28/2212/9/22

All Science Journal Classification (ASJC) codes

  • Computer Networks and Communications
  • Information Systems
  • Signal Processing

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