Title: Scaling and Generalizing Approximate Bayesian Inference
A core problem in statistics and machine learning is to approximate difficult-to-compute probability distributions. This problem is especially important in Bayesian statistics, which frames all inference about unknown quantities as a calculation about a conditional distribution. In this talk I review and discuss innovations in variational inference (VI), a method a that approximates probability distributions through optimization. VI has been used in myriad applications in machine learning and Bayesian statistics. It tends to be faster than more traditional methods, such as Markov chain Monte Carlo sampling.
After quickly reviewing the basics, I will discuss some recent research on VI. I first describe stochastic variational inference, an approximate inference algorithm for handling massive data sets, and demonstrate its application to probabilistic topic models of millions of articles. Then I discuss black box variational inference, a generic algorithm for approximating the posterior. Black box inference easily applies to many models but requires minimal mathematical work to implement. I will demonstrate black box inference on deep exponential families---a method for Bayesian deep learning---and describe how it enables powerful tools for probabilistic programming.
Bio: David Blei is a Professor of Statistics and Computer Science at Columbia University, and a member of the Columbia Data Science Institute. He studies probabilistic machine learning, including its theory, algorithms, and application. David has received several awards for his research. He received a Sloan Fellowship (2010), Office of Naval Research Young Investigator Award (2011), Presidential Early Career Award for Scientists and Engineers (2011), Blavatnik Faculty Award (2013), ACM-Infosys Foundation Award (2013), a Guggenheim fellowship (2017), and a Simons Investigator Award (2019). He is the co-editor-in-chief of the Journal of Machine Learning Research. He is a fellow of the ACM and the IMS.
Title/Abstract: Coming soon.
Bio: Salil Vadhan is the Vicky Joseph Professor of Computer Science and Applied Mathematics at the Harvard John A. Paulson School of Engineering & Applied Sciences, and Lead PI on the Harvard Privacy Tools Project. Vadhan’s research in theoretical computer science spans computational complexity, cryptography, and data privacy. His honors include a Harvard College Professorship, a Simons Investigator Award, and a Guggenheim Fellowship.
Title/Abstract: Coming soon.
Bio: Rebecca Willett is a Professor of Statistics and Computer Science at the University of Chicago. Her research is focused on machine learning, signal processing, and large-scale data science. She completed her PhD in Electrical and Computer Engineering at Rice University in 2005 and was an Assistant then tenured Associate Professor of Electrical and Computer Engineering at Duke University from 2005 to 2013. She was an Associate Professor of Electrical and Computer Engineering, Harvey D. Spangler Faculty Scholar, and Fellow of the Wisconsin Institutes for Discovery at the University of Wisconsin-Madison from 2013 to 2018. Willett received the National Science Foundation CAREER Award in 2007, was a member of the DARPA Computer Science Study Group, and received an Air Force Office of Scientific Research Young Investigator Program award in 2010. Willett has also held visiting researcher or faculty positions at the University of Nice in 2015, the Institute for Pure and Applied Mathematics at UCLA in 2004, the University of Wisconsin-Madison 2003-2005, the French National Institute for Research in Computer Science and Control (INRIA) in 2003, and the Applied Science Research and Development Laboratory at GE Healthcare in 2002.