讲座主题：Stein variational gradient descent with local approximations

专家姓名：闫亮

工作单位：东南大学

讲座时间：2021年12月16日 9:00-10:00

讲座地点：腾讯会议，会议ID：403792057

主办单位：9728太阳集团数学与信息科学学院

内容摘要：

Bayesian computation plays an important role in modern machine learning and statistics to reason about uncertainty. A key computational challenge in Bayesian inference is to develop efficient techniques to approximate, or draw samples from posterior distributions. Stein variational gradient decent (SVGD) has been shown to be a powerful approximate inference algorithm for this issue. However, the vanilla SVGD requires calculating the gradient of the target density and cannot be applied when the gradient is unavailable or too expensive to evaluate. In this talk, we explore one way to address this challenge by the construction of a local surrogate for the target distribution in which the gradient can be obtained in a much more computationally feasible manner. More specifically, we approximate the forward model using a deep neural network (DNN) which is trained on a carefully chosen training set, which also determines the quality of the surrogate. To this end, we propose a general adaptation procedure to refine the local approximation online without destroying the convergence of the resulting SVGD. This significantly reduces the computational cost of SVGD and leads to a suite of algorithms that are straightforward to implement. The new algorithm is illustrated on a set of challenging Bayesian inverse problems, and numerical experiments demonstrate a clear improvement in performance and applicability of standard SVGD.

主讲人介绍：

闫亮，东南大学副教授、博士生导师。主要从事不确定性量化、贝叶斯反问题理论与算法的研究。2018年入选东南大学“至善青年学者”（A层次）支持计划，2017年入选江苏省高校“青蓝工程”优秀青年骨干教师培养对象。目前主持国家自然科学基金面上项目两项，主持完成国家自然科学基金青年项目和江苏省自然科学基金青年项目各一项。已经在《SIAM J. Sci. Comput.》、《Inverse Problems》、《J. Comput. Phys.》等国内外刊物上发表30多篇学术论文.