Stein variational gradient descent (SVGD) is a particle-based inference algorithm that leverages gradient information for efficient approximate inference. In this work, we enhance SVGD by leveraging preconditioning matrices, such as the Hessian and Fisher information matrix, to incorporate geometric information into SVGD updates. We achieve this by presenting a generalization of SVGD that replaces the scalar-valued kernels in vanilla SVGD with more general matrix-valued kernels. This yields a significant extension of SVGD, and more importantly, allows us to flexibly incorporate various preconditioning matrices to accelerate the exploration in the probability landscape. Empirical results show that our method outperforms vanilla SVGD and a variety of baseline approaches over a range of real-world Bayesian inference tasks.
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This content will become publicly available on July 21, 2025
Path-Guided Particle-based Sampling
Particle-based Bayesian inference methods by sampling from a partition-free target (posterior) distribution, e.g., Stein variational gradient descent (SVGD), have attracted significant attention. We propose a path-guided particle-based sampling (PGPS) method based on a novel Logweighted Shrinkage (LwS) density path linking an initial distribution to the target distribution. We
propose to utilize a Neural network to learn a vector field motivated by the Fokker-Planck equation of the designed density path. Particles, initiated from the initial distribution, evolve according to the ordinary differential equation defined by the
vector field. The distribution of these particles is guided along a density path from the initial distribution to the target distribution. The proposed LwS density path allows for an efficient search of modes of the target distribution while canonical methods fail. We theoretically analyze the Wasserstein distance of the distribution of the PGPS-generated samples and the target distribution due to approximation and discretization errors. Practically, the proposed PGPS-LwS method demonstrates higher Bayesian inference accuracy and better calibration ability in experiments conducted on both synthetic and real-world Bayesian learning tasks, compared to baselines, such as SVGD and Langevin dynamics, etc.
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- Award ID(s):
- 2312173
- PAR ID:
- 10547521
- Publisher / Repository:
- International Conference on Machine Learning (ICML), PMLR 235, 2024
- Date Published:
- Format(s):
- Medium: X
- Location:
- Vienna, Austria
- Sponsoring Org:
- National Science Foundation
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