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A Forest Mixture Bound for Block-Free Parallel Inference
Proceedings of the 34th Conference on Uncertainty in Artificial Intelligence, PMLR R16:967-976, 2018.
Abstract
Coordinate ascent variational inference is an important algorithm for inference in proba- bilistic models, but it is slow because it updates only a single variable at a time. Block coordi- nate methods perform inference faster by up- dating blocks of variables in parallel. How- ever, the speed and convergence of these algo- rithms depends on how the variables are par- titioned into blocks. In this paper, we give a convergent parallel algorithm for inference in deep exponential families that doesn’t require the variables to be partitioned into blocks. We achieve this by lower bounding the ELBO by a new objective we call the forest mixture bound (FM bound) that separates the inference prob- lem for variables within a hidden layer. We apply this to the simple case when all random variables are Gaussian and show empirically that the algorithm converges faster for models that are inherently more forest-like.