论文标题
多重重要性采样Elbo和变化近似的深层集合
Multiple Importance Sampling ELBO and Deep Ensembles of Variational Approximations
论文作者
论文摘要
在变异推理(VI)中,使用标准证据下限(ELBO)或改进版本作为重要性加权ELBO(IWELBO)估算边缘对数可能性。我们提出了多重重要性采样Elbo(Miselbo),A \ textit {versatile} \ textit {simple}框架。 Miselbo适用于摊销和经典VI,它使用合奏,例如深层合奏,独立推断的变分近似值。据我们所知,以前尚未建立摊销VI中深层合奏的概念。我们证明,Miselbo比标准弹药的平均值更紧密,并在经验上证明它给出的界限比IWELBOS的平均值更紧。 Miselbo在包括MNIST和几个真实数据系统发育树推理问题的密度估计实验中进行了评估。首先,在MNIST数据集上,Miselbo提高了最先进的模型Nouveau Vae的密度估计性能。其次,在系统发育的推理环境中,我们的框架增强了使用归一化流量的最先进的VI算法。除了Miselbo的技术优势外,它还允许在VI和最新的重要性采样文献中的最新进展之间建立联系,从而为进一步的方法论进步铺平了道路。我们以\ url {https://github.com/lagergren-lab/miselbo}提供代码。
In variational inference (VI), the marginal log-likelihood is estimated using the standard evidence lower bound (ELBO), or improved versions as the importance weighted ELBO (IWELBO). We propose the multiple importance sampling ELBO (MISELBO), a \textit{versatile} yet \textit{simple} framework. MISELBO is applicable in both amortized and classical VI, and it uses ensembles, e.g., deep ensembles, of independently inferred variational approximations. As far as we are aware, the concept of deep ensembles in amortized VI has not previously been established. We prove that MISELBO provides a tighter bound than the average of standard ELBOs, and demonstrate empirically that it gives tighter bounds than the average of IWELBOs. MISELBO is evaluated in density-estimation experiments that include MNIST and several real-data phylogenetic tree inference problems. First, on the MNIST dataset, MISELBO boosts the density-estimation performances of a state-of-the-art model, nouveau VAE. Second, in the phylogenetic tree inference setting, our framework enhances a state-of-the-art VI algorithm that uses normalizing flows. On top of the technical benefits of MISELBO, it allows to unveil connections between VI and recent advances in the importance sampling literature, paving the way for further methodological advances. We provide our code at \url{https://github.com/Lagergren-Lab/MISELBO}.