Bayesian learning via neural Schrödinger-Föllmer flows

DOI10.1007/S11222-022-10172-5zbMATH Open1499.62036arXiv2111.10510OpenAlexW3216084461MaRDI QIDQ2104005FDOQ2104005

Authors: Francisco J. Vargas, Andrius Ovsianas, David Fernandes, Neil D. Lawrence, Nikolas Nüsken, M. Girolami 

Publication date: 9 December 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: In this work we explore a new framework for approximate Bayesian inference in large datasets based on stochastic control (i.e. Schr"odinger bridges). We advocate stochastic control as a finite time and low variance alternative to popular steady-state methods such as stochastic gradient Langevin dynamics (SGLD). Furthermore, we discuss and adapt the existing theoretical guarantees of this framework and establish connections to already existing VI routines in SDE-based models.

Full work available at URL: https://arxiv.org/abs/2111.10510

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zbMATH Keywords

Bayesian inferencestochastic controlBayesian deep learningSchrödinger bridge problemFöllmer drift

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Artificial neural networks and deep learning (68T07)

Cites Work

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Cited In (8)

• Global Optimization via Schrödinger–Föllmer Diffusion
• Hybrid deterministic-stochastic gradient Langevin dynamics for Bayesian learning
• Control of neural transport for normalising flows
• Deterministic particle flows for stochastic nonlinear systems
• Optimal control of underdamped systems: an analytic approach
• Variational inference in neural functional prior using normalizing flows: application to differential equation and operator learning problems
• Manifold stochastic dynamics for Bayesian learning
• Diffusion Schrödinger bridges for Bayesian computation

Uses Software

• MNIST
• STRUCTURE
• Delve Datasets
• CIFAR
• PyTorch
• GitHub

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