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arXiv · 1712.01038

Vprop: Variational Inference using RMSprop

Mohammad Emtiyaz Khan·Zuozhu Liu·Voot Tangkaratt·Yarin Gal
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Abstract

Many computationally-efficient methods for Bayesian deep learning rely on continuous optimization algorithms, but the implementation of these methods requires significant changes to existing code-bases. In this paper, we propose Vprop, a method for Gaussian variational inference that can be implemented with two minor changes to the off-the-shelf RMSprop optimizer. Vprop also reduces the memory requirements of Black-Box Variational Inference by half. We derive Vprop using the conjugate-computation variational inference method, and establish its connections to Newton's method, natural-gradient methods, and extended Kalman filters. Overall, this paper presents Vprop as a principled, computationally-efficient, and easy-to-implement method for Bayesian deep learning.

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Mohammad Emtiyaz Khan, Zuozhu Liu, Voot Tangkaratt, Yarin Gal. 2017-12-04. Vprop: Variational Inference using RMSprop. https://arxiv.org/abs/1712.01038

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