Variational Inference for Sequential Data with Future Likelihood Estimates

Part of Proceedings of the International Conference on Machine Learning 1 pre-proceedings (ICML 2020)

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Authors

Geon-Hyeong Kim, Baezii RL, Hongseok Yang, Kee-Eung Kim

Abstract

<p>The recent development of flexible and scalable variational inference algorithms has popularized the use of deep probabilistic models in a wide range of applications. However, learning and reasoning about high-dimensional models with non-differentiable densities are still a challenge. For such a model, inference algorithms struggle to estimate the gradients of variational objectives accurately, due to high variance in their estimates. To tackle this challenge, we present a novel variational inference algorithm for sequential data, which performs well even when the density from the model is not differentiable, for instance, due to the use of discrete random variables. The key feature of our algorithm is that it estimates future likelihoods at all time steps. The estimated future likelihoods form the core of our new low-variance gradient estimator. We formally analyze our gradient estimator from the perspective of variational objective, and show the effectiveness of our algorithm with synthetic and real datasets.</p>