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EP-IT Data science seminars

PHYSTAT seminar: Variational Inference for Bayesian Analysis

by Prof. David Blei (Columbia University)

Europe/Zurich
CERN

CERN

Description

A core problem in statistics and machine learning is to approximate difficult-to compute probability distributions. This problem is especially important in Bayesian statistics, which frames all inference about unknown quantities as a calculation about a conditional distribution. In this talk I review and discuss innovations in variational inference (VI), a method a that approximates probability distributions through optimization. VI has been used in myriad applications in machine learning and Bayesian statistics. It tends to be faster than more traditional methods, such as Markov chain Monte Carlo sampling.

After reviewing the basics, I will discuss some recent research on VI.  I first describe stochastic variational inference, an approximate inference algorithm for handling massive datasets, and demonstrate its application to probabilistic topic models of millions of articles. Then I discuss black box variational inference, a generic algorithm for approximating the posterior.  Black box inference easily applies to many models but requires minimal mathematical work to implement.  I will demonstrate black box inference on deep exponential families---a method for Bayesian deep learning---and describe how it enables powerful tools for probabilistic programming.

David Blei is a Professor of Statistics and Computer Science at Columbia University, and a member of the Columbia Data Science Institute. He studies probabilistic machine learning, including its theory, algorithms, and application.

 

Organized by

M. Girone, M. Elsing, L. Moneta, M. Pierini
Event co-organised with the PHYSTAT Committee

Videoconference
EP/IT Data Science Seminar
Zoom Meeting ID
98545267593
Description
EP/IT Data Science seminar
Host
Lorenzo Moneta
Alternative hosts
Maria Girone, Markus Elsing, Maurizio Pierini
Passcode
97200142
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Zoom URL