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Fast Black-box Variational Inference through Stochastic Trust-Region Optimization

NeurIPS 2017 · Optimization › Optimizers · approach: Stein variational gradient descent · 7 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use TrustVI instead of ADVIVariational inference on the study models · 183 statistical models and datasetsmodels where the method found a better median optimal ELBO: 51 models (28%)Helped
Use TrustVI instead of ADVIVariational inference on the study models · 183 statistical models and datasetsmodels where the method found a worse median optimal ELBO: 6 models (3%)Hurt
Use TrustVI instead of ADVIVariational inference on the runtime-comparison models · ADVI runtime comparisonruntime: 136 of 137 models (99%); 69 models (50%) at least 12x faster; 34 models (25%) at least 36x fasterHelped
Use TrustVI instead of HFSGVIVariational inference on the study models · 160 statistical models and datasetsmodels where the method found a better median optimal ELBO: 51 models (28%)Helped
Use TrustVI instead of HFSGVIVariational inference on the study models · 160 statistical models and datasetsmodels where the method found a worse median optimal ELBO: 1 model (0.5%)Hurt
Use TrustVI instead of HFSGVIVariational inference on runtime-comparison models · HFSGVI runtime comparisonruntime: 61 models; HFSGVI was faster for 54 modelsMixed
Use trust-region step assessment and rejectionTrustVI · HFSGVI comparisonnumerical overflow failures: 23 of the 183 modelsHelped
Increase ADVI adaptation iterationsADVI · ADVI optimizationuniform improvement across settingsNo clear effect

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