Variational Inference

Variational inference is a scalable technique for approximate Bayesian inference. In the Stan ecosystem, the terms “VI” and “VB” (“variational Bayes”) are used synonymously.

Stan implements an automatic variational inference algorithm, called Automatic Differentiation Variational Inference (ADVI) which searches over a family of simple densities to find the best approximate posterior density. ADVI produces an estimate of the parameter means together with a sample from the approximate posterior density.

ADVI approximates the variational objective function, the evidence lower bound or ELBO, using stochastic gradient ascent. The algorithm ascends these gradients using an adaptive stepsize sequence that has one parameter eta which is adjusted during warmup. The number of draws used to approximate the ELBO is denoted by elbo_samples. ADVI heuristically determines a rolling window over which it computes the average and the median change of the ELBO. When this change falls below a threshold, denoted by tol_rel_obj, the algorithm is considered to have converged.

ADVI configuration

  • algorithm: Algorithm to use. One of: “meanfield”, “fullrank”.
  • iter: Maximum number of ADVI iterations.
  • grad_samples: Number of MC draws for computing the gradient.
  • elbo_samples: Number of MC draws for estimate of ELBO.
  • eta: Stepsize scaling parameter.
  • adapt_iter: Number of iterations for eta adaptation.
  • tol_rel_obj: Relative tolerance parameter for convergence.
  • eval_elbo: Number of interactions between ELBO evaluations.
  • output_samples: Number of approximate posterior output draws to save.
  • data: Values for all data variables in the model, specified either as a dictionary with entries matching the data variables, or as the path of a data file in JSON or Rdump format.
  • seed: The seed for random number generator.
  • inits: Specifies how the sampler initializes parameter values.
  • output_dir: Name of the directory to which CmdStan output files are written.
  • save_diagnostics: Whether or not to the CmdStan auxiliary output file. For the sample method, the diagnostics file contains sampler information for each draw together with the gradients on the unconstrained scale and log probabilities for all parameters in the model.

All of these arguments are optional; when unspecified, the CmdStan defaults will be used.

Example: variational inference for model bernoulli.stan

In this example we use the CmdStan example model bernoulli.stan and data file

The CmdStanModel class method variational returns a CmdStanVB object which provides properties to retrieve the estimate of the approximate posterior mean of all model parameters, and the returned set of draws from this approximate posterior (if any):

  • column_names
  • variational_params_dict
  • variational_params_np
  • variational_params_pd
  • variational_sample
  • save_csvfiles()

In the following example, we instantiate a model and run variational inference using the default CmdStan settings:

import os
from cmdstanpy.model import CmdStanModel
from cmdstanpy.utils import cmdstan_path

# instantiate, compile bernoulli model
bernoulli_path = os.path.join(cmdstan_path(), 'examples', 'bernoulli', 'bernoulli.stan')
bernoulli_model = CmdStanModel(stan_file=bernoulli_path)

# run CmdStan's variational inference method, returns object `CmdStanVB`
bern_data = os.path.join(cmdstan_path(), 'examples', 'bernoulli', '')
bern_vb = bernoulli_model.variational(data=bern_data)

These estimates are only valid if the algorithm has converged to a good approximation. When the algorithm fails to do so, the variational method will throw a RuntimeError.

fail_stan = os.path.join(datafiles_path, 'variational', 'eta_should_fail.stan')
fail_model = CmdStanModel(stan_file=fail_stan)
vb = model.variational()