Patterns of scalable Bayesian inference

DOI10.1561/2200000052MaRDI QIDQ2988018zbMATH OpenOpenAlexFDO

Authors Elaine Angelino, Matthew James Johnson, Ryan P. Adams

Publication date 18 May 2017

Published in Foundations and Trends® in Machine Learning (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.05221

zbMATH Keywords

Markov chain Monte Carlovariational inferenceparallel algorithmsBayesian learning

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Research exposition (monographs, survey articles) pertaining to computer science (68-02)

Abstract: Datasets are growing not just in size but in complexity, creating a demand for rich models and quantification of uncertainty. Bayesian methods are an excellent fit for this demand, but scaling Bayesian inference is a challenge. In response to this challenge, there has been considerable recent work based on varying assumptions about model structure, underlying computational resources, and the importance of asymptotic correctness. As a result, there is a zoo of ideas with few clear overarching principles. In this paper, we seek to identify unifying principles, patterns, and intuitions for scaling Bayesian inference. We review existing work on utilizing modern computing resources with both MCMC and variational approximation techniques. From this taxonomy of ideas, we characterize the general principles that have proven successful for designing scalable inference procedures and comment on the path forward.

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