VBALD - Variational Bayesian Approximation of Log Determinants

Diego Granziol; Edward Wagstaff; Bin Xin Ru; Michael Osborne; Stephen Roberts

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arXiv · 1802.08054

VBALD - Variational Bayesian Approximation of Log Determinants

Diego Granziol·Edward Wagstaff·Bin Xin Ru·Michael Osborne·Stephen Roberts

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Abstract

Evaluating the log determinant of a positive definite matrix is ubiquitous in machine learning. Applications thereof range from Gaussian processes, minimum-volume ellipsoids, metric learning, kernel learning, Bayesian neural networks, Determinental Point Processes, Markov random fields to partition functions of discrete graphical models. In order to avoid the canonical, yet prohibitive, Cholesky $\mathcal{O}(n^{3})$ computational cost, we propose a novel approach, with complexity $\mathcal{O}(n^{2})$, based on a constrained variational Bayes algorithm. We compare our method to Taylor, Chebyshev and Lanczos approaches and show state of the art performance on both synthetic and real-world datasets.

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cs.LG cs.IT math.IT stat.ML

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Diego Granziol, Edward Wagstaff, Bin Xin Ru, Michael Osborne, Stephen Roberts. 2018-02-21. VBALD - Variational Bayesian Approximation of Log Determinants. https://arxiv.org/abs/1802.08054

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