(Kernelized) Stein variational gradient descent

KSD, SVGD, other computational Stein discrepancy methods

November 2, 2022 — April 2, 2024

functional analysis
Markov processes
Monte Carlo
probabilistic algorithms
Figure 1: Unit balls in the RKHS.
Figure 2: Q. Liu (2016a)’s diagram of the relationships between this method, kernel methods, Stein’s method, variational inference, maximum mean discrepancy and Fisher information. Bonus points for coining Steinalization.

Stein’s method meets variational inference via kernels and probability measures. The result is method of inference which maintains an ensemble of particles which notionally collectively sample from some target distribution. I should learn about this, as one of the methods I might use for low-assumption Bayes inference.

There seems to be a standard way of introducing the tools, which I find very confusing. Here I work through that standard with laborious worked examples, so that I can internalise the necessary intuitions for all this.

1 Stein operators

This seems to have been invented in Q. Liu, Lee, and Jordan (2016) and Chwialkowski, Strathmann, and Gretton (2016), weaponized in Q. Liu (2016b).

Let us introduce the bits we need. We start with the classic Stein’s identity which turns out to be a useful trick for quantifying how well we have approximated some density.

Spoiler: later on it turns out that we can even use this as a target loss in order to improve how well we have approximated some density.

We care about a target density \(p\) and another density \(q\) (which will end up approximating it). \(p\) needs to be be differentiable for this to work. They are both densities over, by assumption \(\mathcal{X}\subseteq\mathbb{R}^d\). We also introduce a family of \(\mathbb{R}^d\) to \(\mathbb{R}^d\) test functions \(\mathcal{F}\). We require that \(\lim_{x \to \pm \infty} p(xb)f(xb) = 0\) for \(\|b\|=1\), and some other stuff which we get to in a moment.

Should say more about the generic class \(\mathcal{F}\). Q. Liu, Lee, and Jordan (2016) does.

Next, we choose a Stein operator \(\mathcal{A}_p: \mathcal{F}\to \mathcal{G}\). \(\mathcal{F}\) and \(\mathcal{G}\) are spaces of functions from \(\mathbb{R}^d\) to \(\mathbb{R}^d\), but I gave them different names because it is not clear to me that they are necessarily the same space, but we can probably ignore that detail for now. We do not go into the details of the requirements of the spaces, but they should be smooth functions that are square-integrable (with respect to the target distribution \(p\)? or Lebesgue measure? something else?) whose derivatives also go to zero at infinity. For a function \(\mathcal{A}_p\) to be a Stein operator for a target distribution \(p(x)\), it must satisfy the following key property:

Stein’s Operators: \(\mathcal{A}_p\) is a Stein operator with respect to a suitable class of test functions \(\mathcal{F}\), if the expectation of \(\mathcal{A}_p f(X)\) under the target distribution \(p(x)\) is zero, i.e. for all those \(f\) in \(\mathcal{F}\),

\[ \mathbb{E}_{p}[\mathcal{A}_p f(X)] = 0. \tag{1}\]

Note that \(p\) restricts our choice of \(\mathcal{A}_p\) but AFAICT does not uniquely determine it. I do not know if that is useful. I wonder if we can choose \(\mathcal{F}\) cunningly to admit some spicy alternate \(\mathcal{A}_p\).

For \(\mathcal{F}\) which include a non-trivial linear subspace, we can see that \(\mathcal{A}_p\) must be linear, because expectation is linear, and otherwise we could make linear changes to an \(f\) and end up violating the equality.

The classic choice is to set the Stein Operator to \[ \mathcal{A}_p f(x):=f(x) \nabla_x \cdot \log p(x)+\nabla_x \cdot f(x). \tag{2}\]

AFAICT we are essentially assuming an exponential family density here, or something?

Anyway, let us make this more concrete, by choosing a specific \(p\) which is not trivial but not baffling either. I reckon a 2d Gaussian with standard deviation 1 and mean 0 with do the trick. Let us give it a correlation \(\rho\), which we leave unspecified, to keep things spicy. This implies mean \(\mu = (0, 0)\) and covariance \(\Sigma = \left[\begin{smallmatrix} 1 & \rho \\ \rho & 1 \end{smallmatrix}\right]\), and thence inverse covariance \(\Sigma^{-1} = \tfrac{1}{1-\rho^2}\left[\begin{smallmatrix} 1 & -\rho \\ -\rho & 1 \end{smallmatrix}\right]\). The pdf for this distribution is \[ \begin{aligned} p(\boldsymbol{x}) &= \frac{1}{2\pi \sqrt{|\Sigma|}} \exp\left(-\frac{1}{2} (x-\mu)^{\top} \Sigma^{-1} (x-\mu)\right)\\ &= \frac{1}{2\pi \sqrt{1-\rho^2}} \exp\left(-\frac{1}{2} \begin{bmatrix} x_1 & x_2 \end{bmatrix} \frac{1}{1-\rho^2} \begin{bmatrix} 1 & -\rho \\ -\rho & 1 \end{bmatrix} \begin{bmatrix} x_1 \\ x_2 \end{bmatrix}\right)\\ &= \frac{1}{2\pi \sqrt{1-\rho^2}} \exp\left(-\frac{1}{2(1-\rho^2)}\left(x_1^2 - 2\rho x_1 x_2 + x_2^2\right)\right). \end{aligned} \]

We can simplify the Stein operator for this choice of \(p\), since \[ \begin{aligned} \nabla_x \log p(x) &= \nabla_x \log \left(\frac{1}{2\pi \sqrt{1-\rho^2}} \exp\left(-\frac{1}{2(1-\rho^2)}\left(x_1^2 - 2\rho x_1 x_2 + x_2^2\right)\right)\right)\\ &= \nabla_x \left( -\frac{1}{2(1-\rho^2)} \left( x_1^2 - 2\rho x_1 x_2 + x_2^2\right)\right)\\ &= -\frac{1}{2(1-\rho^2)}\nabla_x\left(x_1^2 - 2\rho x_1 x_2 + x_2^2\right)\\ &= \frac{1}{1-\rho^2}\begin{bmatrix} x_1 - \rho x_2\\ x_2 - \rho x_1 \end{bmatrix} \end{aligned} \]

Equation 1 comes out to

\[ \begin{aligned} \mathbb{E}_p[\mathcal{A}_p f(X)] &= \mathbb{E}_p\Bigg[ \begin{bmatrix} -\frac{X_1 - \rho X_2}{1-\rho^2} \\ -\frac{X_2 - \rho X_1}{1-\rho^2} \end{bmatrix} \cdot \begin{bmatrix} f_1(X) \\ f_2(X) \end{bmatrix} \\ & \qquad + \begin{bmatrix} \partial_{X_1} \\ \partial_{X_2} \end{bmatrix} \cdot \begin{bmatrix} f_1(X) \\ f_2(X) \end{bmatrix} \Bigg]\\ &= \mathbb{E}_p\left[ -\frac{f_1(X)(X_1 - \rho X_2) + f_2(X)(X_2 - \rho X_1)}{1-\rho^2} + \partial_{X_1} f_1(X) + \partial_{X_2} f_2(X) \right]. \end{aligned} \]

We can choose some stupid \(f\) for the purposes of that intuition building we claimed we were doing. A linear one is \(f(x) = \begin{bmatrix} a_1 x_1 + b_1 x_2 \\ a_2 x_1 + b_2 x_2 \end{bmatrix}\). The expectation of the Stein operator for our bivariate Gaussian is then

\[ \begin{aligned} \mathbb{E}_p[\mathcal{A}_p f(X)] &= \mathbb{E}_p\Bigg[ \begin{bmatrix} -\frac{X_1 - \rho X_2}{1-\rho^2} \\ -\frac{X_2 - \rho X_1}{1-\rho^2} \end{bmatrix} \cdot \begin{bmatrix} a_1 X_1 + b_1 X_2 \\ a_2 X_1 + b_2 X_2 \end{bmatrix} + a_1 + b_2 \Bigg]\\ % &=\frac{1}{1-\rho^2} \mathbb{E}_p\left[-a_1 X_1^2+a_1 \rho X_1 X_2+a_2 \rho X_1^2-a_2 X_1 X_2-b_1 X_1 X_2+b_1 \rho X_2^2+b_2 \rho X_1 X_2-b_2 X_2^2\right] + a_1 + b_2 \\ % &=\frac{1}{1-\rho^2} \mathbb{E}_p\left[-a_1 X_1^2+a_2 \rho X_1^2 + a_1 \rho X_1 X_2-a_2 X_1 X_2-b_1 X_1 X_2+b_2 \rho X_1 X_2+b_1 \rho X_2^2-b_2 X_2^2\right] + a_1 + b_2 \\ &=\frac{1}{1-\rho^2} \mathbb{E}_p\big[(-a_1 +a_2 \rho) X_1^2 \\ & \qquad + ( a_1 \rho -a_2 -b_1 +b_2 \rho)X_1 X_2 \\ & \qquad +(b_1 \rho -b_2) X_2^2\big] \\ & \qquad + a_1 + b_2 \\ &=\frac{1}{1-\rho^2} \big[ (-a_1 +a_2 \rho) \operatorname{var} X_1 \\ &\qquad+( a_1 \rho -a_2 -b_1 \\ &\qquad+b_2 \rho)\operatorname{cov}(X_1, X_2)\\ &\qquad +(b_1 \rho -b_2) \operatorname{var}X_2\big] + a_1 + b_2 \\ % &=\frac{-a_1 \operatorname{var} X_1 +a_1 \rho \operatorname{cov} (X_1,X_2)+a_2 \rho \operatorname{var} X_1-a_2 \operatorname{cov}( X_1, X_2)-b_1 \operatorname{cov}( X_1, X_2)+b_1 \rho \operatorname{var} X_2+b_2 \rho\operatorname{cov}(X_1, X_2)-b_2 \operatorname{var} X_2}{1-\rho^2} + a_1 + b_2 \\ &=\frac{-a_1 +a_1 \rho ^2+a_2 \rho - a_2 \rho-b_1 \rho+b_1 \rho +b_2 \rho^2 -b_2}{1-\rho^2} + a_1 + b_2 \\ &=\frac{-a_1(1- \rho ^2) -b_2 (1 -\rho^2)}{1-\rho^2} + a_1 + b_2 =0.\\ \end{aligned} \]

Phew! OK that worked. I itch to plot these functions. Note that even in 2 dimensions that is tricky, because our functions are 2d functions of 2d inputs, so we need 4 dimensions to plot them.

I could do a 1d example. We can find loads of those on the internet, and I did not find them helpful because it is too easy to lose sight of how this method handles higher-dimensional spaces, which is the only time it is interesting.

We can juuuuust about do it in 2 dimensions by using a quiver plot and treating it as a weird vector field; here the arrows show the output space for an arbitrary stoopid linear \(f\) and the contours show the density of the target distribution \(p\).

import jax.numpy as jnp
import numpy as np
from jax import grad, vmap, jacfwd, jacrev
import plotly.figure_factory as ff
import plotly.graph_objects as go
from plotly.subplots import make_subplots
import plotly.io as pio
from _plotly_styles import textbook

pio.templates.default = "none"
# Define shared parameters for scale
A_scale_factor = 1.5
f_scale_factor = 0.1
arrow_scale_factor = 0.3
n = 25

# Define the generic function f
def f(x, a1, b1, a2, b2):
    return jnp.stack([
        a1 * x[..., 0] + b1 * x[..., 1],
        a2 * x[..., 0] + b2 * x[..., 1]],

# Define the log-density of the generic probability density function p
def log_p(x, rho):
    return -0.5 * (
        x[..., 0]**2 + x[..., 1]**2
         - 2 * rho * x[..., 0] * x[..., 1]
    ) / (
        1 - rho**2
    ) - jnp.log(
        2 * jnp.pi * jnp.sqrt(1 - rho**2)

# Fix specific values for rho and the parameters of f
rho = 0.5
a1, b1, a2, b2 = 1, 0.25, -0.75, -1
f_specific = lambda x: f(x, a1, b1, a2, b2)
log_p_specific = lambda x: log_p(x, rho)

# Define the Stein operator applied to a specific f and p
def A_p_f(x, f, log_p):
    grad_log_p = vmap(grad(log_p))(x)
    jac_f = vmap(jacfwd(f))(x)
    return grad_log_p[:, None, :] * f(x)[:, :, None] + jac_f

# Create a grid of points
x1, x2 = np.meshgrid(
    np.linspace(-3, 3, n, endpoint=True),
    np.linspace(-3, 3, n, endpoint=True)
x = np.stack([x1, x2], axis=-1).reshape(-1, 2)

# Compute the function f at each point in x
f_x = f_specific(x)
p_x = np.exp(log_p_specific(x))

# Compute the Stein operator for f at each point in x
A_f_p_x = A_p_f(x, f_specific, log_p_specific)
p_A_f_p_x = A_f_p_x * p_x[:, None, None]

# Create a subplot with 2 rows and 1 column
fig = make_subplots(
    rows=2, cols=1,
        '<i>p A<sub>p</sub> f</i>'),
    row_heights=[0.5, 0.5])

# Add the quiver plot for the function f to the first subplot
        x1, x2,
        f_x[:, 0].reshape(x1.shape), f_x[:, 1].reshape(x2.shape),
        name='f', line_width=1).data[0],
    row=1, col=1

# Add the quiver plot for the first component of the Stein operator to the second subplot
        x1, x2,
        p_A_f_p_x[:, 0, 0].reshape(x1.shape),
        p_A_f_p_x[:, 1, 0].reshape(x2.shape),
        name='Component 1', line_width=1,
    row=2, col=1

# Add the quiver plot for the second component of the Stein operator to the second subplot
        x1, x2,
        p_A_f_p_x[:, 0, 1].reshape(x1.shape),
        p_A_f_p_x[:, 1, 1].reshape(x2.shape),
        name='Component 2', line_width=1,
    row=2, col=1

# Set the layout
    font=dict(family="Alegreya, serif"),

# Update axis ranges and aspect ratio for both subplots
axis_range = [-3, 3]
for i in range(1, 3):
        range=axis_range, row=i, col=1)
        range=axis_range, row=i, col=1,
        scaleanchor=f'x{i}', scaleratio=1)

# Show the plot
Figure 3: A sorta-kinda visualization of the Stein operator for a 2d Gaussian and a linear test function

Did that help us? Well, kinda. It is not really clear to me that I should trust that the second figure should actually integrate to 0. Did it?


Hm, not convincingly exactly 0. Numerical approximation problem, truncation error or actual bug? TBD. For now, I’m out of time, we really need to be moving along.

2 Stein discrepancy

We make Equation 1 into a quantity that depends on two potentially-different densities by taking the expectation over a different density \(q\) than the one that generated the operator \(\mathcal{A}_p,\) and seeing if that does something useful:

\[ \mathbb{E}_{x\sim q}[\mathcal{A}_p f(X)]=0 \tag{3}\]

Spoiler, it does, because if \(p\neq q\) a.e. then it turns out that

\[ \begin{aligned} \mathbb{E}_{x\sim q}[\mathcal{A}_p f(X)] &=\mathbb{E}_{x\sim q}[\mathcal{A}_p f(X)] - \overbrace{\mathbb{E}_{x\sim q}[\mathcal{A}_q f(X)]}^{=0}\\ &=\mathbb{E}_{x\sim q}\big[f(x) \cdot \nabla_x \log p(x)+\nabla_x \cdot f(x)\\ &\qquad-f(x) \cdot \nabla_x \log p(x)-\nabla_x \cdot f(x)\big]\\ &=\mathbb{E}_{x\sim q}\left[f(x) \cdot \nabla_x \log p(x) -f(x) \cdot \nabla_x \log q(x)\right]\\ &=\mathbb{E}_{x\sim q}\left[f(x) \delta_{p,q}(x) \right] \end{aligned} \] where \(\delta_{p,q}(x):= \nabla_x \log p(x) -\nabla_x \log q(x)\) is the difference in score function between \(p\) and \(q\).

By choosing a \(f\) from some sufficiently rich \(\mathcal{F}\) we can make this non-zero unless \(p=q\) a.e., so this equation tells us something about how distinct are two densities \(p\) and \(q\), in this slightly weird but credible-seeming sense where we care about the difference in their score functions. That’s right, this turns out to be a kind of score matching method.

This looks neat. How can we calculate it in practice? Obstacle: we have not specified \(f\). We could fix some \(f\) and use it to measure how different are \(p\) and \(q\) in some sense. Or we could choose some stochastic process which generates some random \(f\)s and estimate it over many \(f\)s, I guess? I assume that has been done.

The Stein Discrepancy takes a strong approach to controlling those \(f\)s: We control the supremum of that difference over all \(f\) in some function class \(\mathcal{F}\), so that we know that this difference \(p\) and \(q\) is not too bad for any \(f\), since if we have found this Stein discrepancy, we have found how bad it is over the worst \(f\):

\[ \sqrt{S(q, p)} = \sup_{f \in \mathcal{F}} \left| \mathbb{E}_{x \sim q}[\operatorname{trace}(\mathcal{A}_p f(X))] \right| \]

Notice we snuck in a trace there as well to make it a scalar? This ended up being the most confusing thing for me; how many dimensions even is anything in in this equation?

I said the Stein discrepancy, but it looks like each choice of \(\mathcal{F}\) and operator \(\mathcal{A}_p\) gives us a different Stein discrepancy, no?

Let us consider how we might find this ‘worst’ \(f\) which gives us this most powerful guarantee of the difference between \(p\) and \(q\). There are a few steps.

First, we use the linearity of Stein operator \(\mathcal{A}_p\), mentioned earlier. Suppose that \(f\) can be represented as a finite linear combination \(f(x)=\sum_i w_i f_i(x)\) of a set of basis functions \(f_i(x)\) for some coefficients \(w_i\) s.t. \(\|w\| \leq 1\). Then we can define the violation of Stein-ness by \[ \mathbb{E}_q\left[\mathcal{A}_p f\right]=\mathbb{E}_q\left[\mathcal{A}_p \sum_i w_i f_i(x)\right]=\sum_i w_i \beta_i, \] where \[ \beta_i=\mathbb{E}_{x \sim q}\left[\mathcal{A}_p f_i(x)\right] . \]

This only works for univariate densities, so far. To make the discrepancy be a scalar even for multivariate problems (in the sense of densities over multidimensional spaces) we define this violation as \[ \mathbb{E}_p\left[\operatorname{trace}\left(\mathcal{A}_q \boldsymbol{f}(x)\right)\right]=\mathbb{E}_p\left[\left(\boldsymbol{s}_q(x)-\boldsymbol{s}_p(x)\right)^{\top} \boldsymbol{f}(x)\right] \]

The optimal (i.e. worst) coefficients \(w_i\) are \[ \max _w \sum_i w_i \beta_i, \quad \text { s.t. } \quad\|w\| \leq 1 \]

OK, so this is notionally an optimisation problem we can solve, choosing the \(w_i\) values to be as terrible as possible, and then seeing how bad the most-terrible values are. That is a nested optimisation problem, which is a bit tedious. Can we do better?

3 Kernelized Stein Discrepancy

When we see a challenge of this kind — where we wish we had ‘more tricks’ in our function space — it typically suggests trying the kernel trick and seeing if that does anything cool. This involves, specifically, choosing the function class \(\mathcal{F}\) to be a reproducing kernel Hilbert space and seeing what that does to the problem. Frequently, as here, that makes life easier.

Kernelized Stein Discrepancy does exactly that, picking a special family \(\mathcal{F}\). Let us sidle up to KSD: \(\mathcal{H}\) is the RKHS with associated kernel \(k:\mathbb{R}^d \times \mathbb{R}^d \to \mathbb{R}\). We required that \(k(x, x^{\prime}): \mathbb{R}^d \times \mathbb{R}^d \to \mathbb{R}\) be positive definite kernel. The RKHS \(\mathcal{H}\) with kernel \(k\) includes functions of form \(f(x)=\sum_i w_i k\left(x, x_i\right)\), equipped with RKHS inner product \(\langle f, g\rangle_{\mathcal{H}}=\sum_{i j} w_i v_j k\left(x_i, x_j\right)\) for \(g=\sum_j v_j k\left(x, x_j\right)\) and RKHS norm \(\|f\|_{\mathcal{H}}^2=\sum_{i j} w_i w_j k\left(x_i, x_j\right)\).

The problem is that this space doesn’t contain vector-valued functions of the kind we need to do “Stein stuff”. So… next we define \(\mathcal {H}^d\), a product space consisting of elements \(\boldsymbol {f} = (f_1, f_2, \ldots, f_d)\), where each \(f_i \in \mathcal {H}\). Each such \(f\) then would be an \(\mathbb {R}^d\to \mathbb {R}^d\) function, which is what we need for the Stein operator. We endow this little fella with inner product \(\langle \boldsymbol {f}, \boldsymbol {g}\rangle_{\mathcal {H}^d}=\sum_{i=1}^d \langle f_i, g_i\rangle_{\mathcal {H}}.\)

It turns out that we can calculate efficiently in this RKHS, because it gives us some extra structure: \[ \begin{aligned} f(x)&=\langle f(\cdot), k(x, \cdot)\rangle_{\mathcal{H}} && \text{reproducing property}\\ \nabla_x f(x)&=\left\langle f(\cdot), \nabla_x k(x, \cdot)\right\rangle_{\mathcal{H}} && \text{gradient property} \end{aligned} \] With these properties, we have \[ \mathbb{E}_{x \sim q}\left[\mathcal{A}_p f(x)\right]=\left\langle f_i (\cdot), \mathbb{E}_{x \sim q}\left[\mathcal{A}_p k(\cdot, x)\right]\right\rangle_{\mathcal{H}} \] where we shift both the expectation and Stein operator to the kernel function. Moreover, \[ \begin{aligned} \mathbb{E}_{x \sim q}\left[\operatorname{trace}\mathcal{A}_p \boldsymbol{f}(x)\right] &=\sum_{i=1}^{d} \left\langle f_i(\cdot), \mathbb{E}_{x \sim q}\left[\mathcal{A}_p k_i(\cdot, x)\right]\right\rangle_{\mathcal{H}}\\ &=\left\langle \boldsymbol{f}(\cdot), \mathbb{E}_{x \sim q}\left[\mathcal{A}_p k(\cdot, x)\right]\right\rangle_{\mathcal{H}^d} \end{aligned} \]

We take \(\mathcal{F}\) to be the unit ball in that RKHS, i.e. \(\mathcal{F}:=\{\boldsymbol{f};\|\boldsymbol{f}\|_{\mathcal{H}^d} \leq 1 \}\).

Then we can write

\[ \sqrt{S(q, p)}=\sup _{f \in \mathcal{H},\|f\|_{\mathcal{H}^d} \leq 1}\left\{\mathbb{E}_{x \sim q}\left[\mathcal{A}_p f(x)\right], \text { s.t. }\right\} . \] i.e. it is just the same, but we have restricted the function class to be an RKHS.

Define \[ \beta_{q, p}(\cdot)=\mathbb{E}_{x' \sim q} \mathcal{A}_p k(\cdot, x'). \]

Finding that supremum is then equivalent to solving \[ \sup _f\left\langle f, \beta_{q, p}\right\rangle_{\mathcal{H}}, \quad \text { s.t. }\|f\|_{\mathcal{H}} \leq 1 . \]

\[ S(p, q)=\mathbb{E}_{x, x^{\prime} \sim p}\left[\boldsymbol{\delta}_{q, p}(x)^{\top} k\left(x, x^{\prime}\right) \boldsymbol{\delta}_{q, p}\left(x^{\prime}\right)\right], \] where \(\boldsymbol{\delta}_{q, p}(x)=s_q(x)-s_p(x)\) is the score difference between \(p\) and \(q\), and \(x, x^{\prime}\) are i.i.d. draws from \(p(x)\).

We maximise this if we set \(f=\beta_{q, p} /\left\|\beta_{q, p}\right\|_{\mathcal{H}}\), normalising it to be on the unit ball at the point that maximises the expectation. Thus \[\begin{align} S(q, p) &=\left\|\beta_{q, p}\right\|_{\mathcal{H}^d}^2\\ &=\mathbb{E}_{x, x^{\prime} \sim q}\left[\kappa_p\left(x, x^{\prime}\right)\right] \end{align}\] where \[ \kappa_p\left(x, x^{\prime}\right):=\mathcal{A}_p^x \mathcal{A}_p^{x^{\prime}} k\left(x, x^{\prime}\right) . \] Here we defined \(\mathcal{A}_p^x\) and \(\mathcal{A}_p^{x^{\prime}}\) represents the Stein operator w.r.t. variable \(x\) and \(x^{\prime}\), respectively. \(\kappa_p\left(x, x^{\prime}\right)\) is the “Steinalized” kernel obtained by applying Stein operator on \(k\left(x, x^{\prime}\right)\) twice.

It is a mess to write out in full though.

if False:

4 Stein Variational Gradient Descent

We manufacture an empirical \(q\) by using a set of particles \(\{x_i\}_{i=1}^n\).

First confusion: When I heard about this, as a person staring at Neural Nets too hard for too long, the first confusion is that the Gradient descent here is not SGD where we assimilate gradient steps by looking at examples; it is rather a gradient descent in parameters space which converges in a batched fashion towards a good approximation of the posterior.

A worked example will sort this out.

5 Stochastic variants

(Li et al. 2020; Zhang et al. 2020)

6 By message passing

Define a kernel over factors and now the stein messages may be passed locally. Discovered simultaneously in 2018 by D. Wang, Zeng, and Liu (2018) and Zhuo et al. (2018).

To read: Zhou and Qiu (2023).

7 Moment matching interpretation

See Q. Liu and Wang (2018).

8 Incoming

9 References

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Anastasiou, Barp, Briol, et al. 2022. Stein’s Method Meets Computational Statistics: A Review of Some Recent Developments.”
Chen, Wu, Chen, et al. 2020. Projected Stein Variational Newton: A Fast and Scalable Bayesian Inference Method in High Dimensions.”
Chu, Minami, and Fukumizu. 2022. The Equivalence Between Stein Variational Gradient Descent and Black-Box Variational Inference.” In.
Chwialkowski, Strathmann, and Gretton. 2016. A Kernel Test of Goodness of Fit.” In Proceedings of the 33rd International Conference on International Conference on Machine Learning - Volume 48. ICML’16.
Detommaso, Cui, Spantini, et al. 2018. A Stein Variational Newton Method.” In Proceedings of the 32nd International Conference on Neural Information Processing Systems. NIPS’18.
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Gong, Peng, and Liu. 2019. Quantile Stein Variational Gradient Descent for Batch Bayesian Optimization.” In Proceedings of the 36th International Conference on Machine Learning.
Gorham, and Mackey. 2015. Measuring Sample Quality with Stein’s Method.” In Proceedings of the 28th International Conference on Neural Information Processing Systems - Volume 1. NIPS’15.
Gorham, Raj, and Mackey. 2020. Stochastic Stein Discrepancies.” arXiv:2007.02857 [Cs, Math, Stat].
Han, and Liu. 2018. Stein Variational Gradient Descent Without Gradient.” In Proceedings of the 35th International Conference on Machine Learning.
Huggins, Campbell, Kasprzak, et al. 2018. Scalable Gaussian Process Inference with Finite-Data Mean and Variance Guarantees.” arXiv:1806.10234 [Cs, Stat].
Ley, Reinert, and Swan. 2017. Stein’s Method for Comparison of Univariate Distributions.” Probability Surveys.
Li, Li, Liu, et al. 2020. A Stochastic Version of Stein Variational Gradient Descent for Efficient Sampling.” Communications in Applied Mathematics and Computational Science.
Liu, Qiang. 2016a. A Short Introduction to Kernelized Stein Discrepancy.”
———. 2016b. Stein Variational Gradient Descent: Theory and Applications.”
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