Variational Gaussian Process Diffusion Processes
Prakhar Verma, Vincent Adam, Arno Solin
Abstract
Diffusion processes are a class of stochastic differential equations (SDEs) providing a rich family of expressive models that arise naturally in dynamic modelling tasks. Probabilistic inference and learning under generative models with latent processes endowed with a non-linear diffusion process prior are intractable problems. We build upon work within variational inference, approximating the posterior process as a linear diffusion process, and point out pathologies in the approach. We propose an alternative parameterization of the Gaussian variational process using a site-based exponential family description. This allows us to trade a slow inference algorithm with fixed-point iterations for a fast algorithm for convex optimization akin to natural gradient descent, which also provides a better objective for learning model parameters.
BibTeX
@InProceedings{pmlr-v238-verma24a,
title = {Variational {G}aussian Process Diffusion Processes},
author = {Verma, Prakhar and Adam, Vincent and Solin, Arno},
booktitle = {Proceedings of The 27th International Conference on Artificial Intelligence and Statistics},
pages = {1909--1917},
year = {2024},
editor = {Dasgupta, Sanjoy and Mandt, Stephan and Li, Yingzhen},
volume = {238},
series = {Proceedings of Machine Learning Research},
month = {02--04 May},
publisher = {PMLR},
pdf = {https://proceedings.mlr.press/v238/verma24a/verma24a.pdf},
url = {https://proceedings.mlr.press/v238/verma24a.html},
abstract = {Diffusion processes are a class of stochastic differential equations (SDEs) providing a rich family of expressive models that arise naturally in dynamic modelling tasks. Probabilistic inference and learning under generative models with latent processes endowed with a non-linear diffusion process prior are intractable problems. We build upon work within variational inference, approximating the posterior process as a linear diffusion process, and point out pathologies in the approach. We propose an alternative parameterization of the Gaussian variational process using a site-based exponential family description. This allows us to trade a slow inference algorithm with fixed-point iterations for a fast algorithm for convex optimization akin to natural gradient descent, which also provides a better objective for learning model parameters.}
}