Natural Conjugate Gradient Learning for Fixed-Form Variational Bayes

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• Dr Antti Honkela (Aalto University School of Science and Technology, Finland)
• Wednesday 16 June 2010, 11:00-12:00
• Engineering Department, CBL Room 438.

If you have a question about this talk, please contact Zoubin Ghahramani.

Variational Bayesian (VB) methods are typically only applied to models in the conjugate-exponential family using the variational Bayesian expectation maximisation (VB EM) algorithm or one of its variants. Here I present an efficient algorithm for applying VB to more general models. The method is based on specifying the functional form of the approximation, such as multivariate Gaussian. The parameters of the approximation are optimised using a natural conjugate gradient algorithm that utilises the Riemannian geometry of the space of the approximations. This leads to a very efficient algorithm for suitably structured approximations. It is shown empirically that the proposed method is comparable or superior in efficiency to the VB EM in a case where both are applicable. The algorithm is also applied to learning a nonlinear state-space model and a nonlinear factor analysis model for which the VB EM is not applicable. For these models, the proposed algorithm outperforms alternative gradient-based methods by a significant margin.

This is joint work with Tapani Raiko, Mikael Kuusela, Matti Tornio and Juha Karhunen.

This talk is part of the Machine Learning @ CUED series.

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