This arXival by Mandt, Hoffman and Blei from February takes a look at what they call SGD with constant learning rate or constant SGD. Which is not really Stochastic Gradient Descent anymore, but rather a sampling algorithm, as we should bounce around the mode of the posterior rather than converging to it. Consequently they interpret constant SGD as a stochastic process in discrete time with some stationary distribution. They go on to analyse it under the assumption that the stationary distribution is Gaussian (Assumption 1 and 4). Something that springs to my mind here is the following: even if we accept that the stationary distribution of the process might be Gaussian (intuitively, not rigorously), what guarantees that the stationary distribution is the posterior? Even if the posterior is also gaussian, it could have a different (co)variance. I think a few more words about this question might be good. In particular, without adding artificial noise, is it guaranteed that every point in the posteriors domain can be reached with non-zero probability? And can be reached an infinite number of times if we collect infinite samples? If not, the constant SGD process is transient and does not enjoy good stability properties.
Another delicate point hides in Assumption 1: As our stochastic gradient is the sum of independent RVs, the CLT is invoked to assume that the gradient noise is Gaussian. But the CLT might not yet take effect if the number of data points in our subsample is small, which is the very thing one would like in order to have advantages in computation time. This of course is yet another instance of the dilemma common to all scalable sampling techniques, and at this stage of research this is not a show stopper.
Now assuming that constant SGD is not transient and it has a stationary distribution that is the posterior and that the posterior or its dominant mode is approximately Gaussian, we can of course try to optimize the parameters of constant SGD to make the sample it produces as close a possible to a posterior sample. Which the authors conveniently do using an Ornstein-Uhlenbeck approximation, which has a Gaussian stationary distribution. Their approach is to minimize KL-Divergence between the OU approximation and the posterior, and derive optimal parameter settings for constant SGD in closed form. The most interesting part of the theoretical results section probably is the one on optimal preconditioning in Stochastic Gradient Fisher Scoring, as that sampler adds artificial noise. Which might solve some of the transience questions.
The presentation would gain a lot by renaming “constant SGD” for what it is – a sampling algorithm. The terminology and notation in general are sometimes a bit confusing, but nothing a revision can’t fix. In general, the paper presents an interesting approach to deriving optimal parameters for a class of algorithms that is notoriously hard to tune. This is particularly relevant because the constant step size could improve mixing considerably over Welling & Tehs SGLD. What would be interesting to see is wether the results could be generalized to the case where the posterior is not Gaussian. For practical reasons, because stochastic VB/EP works quite well in the gaussian case. For theoretical reasons, because EP now even comes with some guarantees (haven’t read that paper admittedly). Maybe a path would be to take a look at the Gaussian approximation to a multimodal posterior spanning all modes, and minimizing KL-Divergence between that and the OU process. Or maybe one can proof that constant SGD (with artificial noise?) has some fixed stationary distribution to which stochastic drift term plus noise are a Markov Kernel, which might enable a pseudo-marginal correction.
This is an arXival (maybe by now ICML paper?) by Zhang, Shahbaba and Zhao. It suggest fitting an emulator/surrogate to the target density via score matching and then use the gradients of rather than those of for generating proposal with HMC. Their main selling point being that this decreases wall-clock time for HMC.
However, that seems to me like reselling the earlier paper by Heiko Strathmann and collaborators on Gradient-free Hamiltonian Monte Carlo with Efficient Kernel Exponential Families. Zhang et al use basically the same idea but fail to look at this earlier work. Their reasoning to use a neural network rather than a GP emulator (computation time) is a bit arbitrary. If you go for a less rich function class (neural network) then the computation time will go down of course – but you would get the same effect by using GPs with inducing points.
Very much lacking to my taste is reasoning for doing the tuning they do. Sometimes they tune HMC/Variational HMC to 85% acceptance, sometimes to 70% acceptance. Also, it seems they not adapting the mass matrix of HMC. If they would, I conjecture the relative efficiency of Standard HMC vs Variational HMC could change drastically. Details on how they tune SGLD is completely lacking.
Overall, I think it is not yet clear what can be learned from the work reported in the paper.
My friend Patrick Jähnichen asked me to read this AISTATS 2014 paper by Ranganath, Gerrish and Blei. For somebody using mainly variational inference, I guess the prospect of not having to derive an individual algorithm for each new model is very appealing (while for poor sampling Ingmar, it would be very appealing to scale like VI does).
However, I found the paper hard to read and unclear in its conclusions. For the Rao-Blackwellization procedure it is unclear what is conditioned upon in the main paper. I guess it’s the variational parameters of all other components. Similarly, I’m not sure where the first equality in equation (13) stems from, which is crucial for the Control Variate ansatz. These things may just be me.
More problematic I think is their evaluation, especially comparing to MH-within-Gibbs. This is a particularly bad sampling scheme, and I don’t even suggest to use HMC instead. One could easily use a simple Adaptive Metropolis algorithm and still be black box. Also, Rao-Blackwellization can be applied in this pure adaptive MCMC setting as well. Another conservative and black-box possibility would be adaptive SMC by Fearnhead. My intuition is that both variants might actually be better than the suggested Black Box VI or at least the difference in the one performance plot of the paper will barely be noticeable.
However, I think this direction of research is a useful one and I hope they can improve upon the current state.