Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.594324
Title: Variational approximate inference in latent linear models
Author: Challis, E. A. L.
Awarding Body: University College London (University of London)
Current Institution: University College London (University of London)
Date of Award: 2013
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Abstract:
Latent linear models are core to much of machine learning and statistics. Specific examples of this model class include Bayesian generalised linear models, Gaussian process regression models and unsupervised latent linear models such as factor analysis and principal components analysis. In general, exact inference in this model class is computationally and analytically intractable. Approximations are thus required. In this thesis we consider deterministic approximate inference methods based on minimising the Kullback-Leibler (KL) divergence between a given target density and an approximating `variational' density. First we consider Gaussian KL (G-KL) approximate inference methods where the approximating variational density is a multivariate Gaussian. Regarding this procedure we make a number of novel contributions: sufficient conditions for which the G-KL objective is differentiable and convex are described, constrained parameterisations of Gaussian covariance that make G-KL methods fast and scalable are presented, the G-KL lower-bound to the target density's normalisation constant is proven to dominate those provided by local variational bounding methods. We also discuss complexity and model applicability issues of G-KL and other Gaussian approximate inference methods. To numerically validate our approach we present results comparing the performance of G-KL and other deterministic Gaussian approximate inference methods across a range of latent linear model inference problems. Second we present a new method to perform KL variational inference for a broad class of approximating variational densities. Specifically, we construct the variational density as an affine transformation of independently distributed latent random variables. The method we develop extends the known class of tractable variational approximations for which the KL divergence can be computed and optimised and enables more accurate approximations of non-Gaussian target densities to be obtained.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.594324  DOI: Not available
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