概率图模型的形式化为捕获随机变量之间的复杂依赖关系和建立大规模多元统计模型提供了统一的框架。图模型已经成为许多统计、计算和数学领域的研究焦点，包括生物信息学、通信理论、统计物理、组合优化、信号和图像处理、信息检索和统计机器学习。在特定情况下出现的许多问题- -包括计算边缘值和概率分布模式的关键问题。利用指数族表示，并利用指数族累积函数和熵之间的共轭对偶性，我们提出了计算概率、边际概率和最可能配置问题的一般变分表示。我们描述了各种各样的算法,其中sum-product集群变分方法,expectation-propagation,平均场方法,max-product和线性规划松弛——都可以理解的精确或近似形式的变分表示。变分方法提供了一个补充替代马尔科夫链蒙特卡洛作为在大规模统计模型推理的方法。

成为VIP会员查看完整内容

** Models with a large number of latent variables are often used to fully utilize the information in big or complex data. However, they can be difficult to estimate using standard approaches, and variational inference methods are a popular alternative. Key to the success of these is the selection of an approximation to the target density that is accurate, tractable and fast to calibrate using optimization methods. Most existing choices can be inaccurate or slow to calibrate when there are many latent variables. Here, we propose a family of tractable variational approximations that are more accurate and faster to calibrate for this case. It combines a parsimonious parametric approximation for the parameter posterior, with the exact conditional posterior of the latent variables. We derive a simplified expression for the re-parameterization gradient of the variational lower bound, which is the main ingredient of efficient optimization algorithms used to implement variational estimation. To do so only requires the ability to generate exactly or approximately from the conditional posterior of the latent variables, rather than to compute its density. We illustrate using two complex contemporary econometric examples. The first is a nonlinear multivariate state space model for U.S. macroeconomic variables. The second is a random coefficients tobit model applied to two million sales by 20,000 individuals in a large consumer panel from a marketing study. In both cases, we show that our approximating family is considerably more accurate than mean field or structured Gaussian approximations, and faster than Markov chain Monte Carlo. Last, we show how to implement data sub-sampling in variational inference for our approximation, which can lead to a further reduction in computation time. MATLAB code implementing the method for our examples is included in supplementary material. **