lecture 12: variationalinference and mean field · computing mean parameter: bernoulli 10 •a...

CS839:ProbabilisticGraphicalModels

Lecture12:Variational InferenceandMeanField

TheoRekatsinas

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Summary

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• Variational Inference(approximateinference):• LoopyBP(BetheFreeEnergy)• Mean-fieldApproximation

• Whatiscommoninthetwo?

• LoopyBP:outerapproximationofthemarginalpolytope• Mean-field:innerapproximationofthemarginalpolytope

Variational Methods

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• Variational means:optimization-basedformulation• Representaquantityofinterestasthesolutiontoanoptimizationproblem• Approximatethedesiredsolutionbyrelaxing/approximatingtheintractableoptimizationproblem

• Example:

InferenceproblemsinGraphicalModels

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• Consideranundirectedgraphicalmodel(MRF)

• Thequantitatesofinterest(forinference)

• Marginaldistributions

• NormalizationconstantZ• Howtorepresentthesequantitiesinavariational form?• Exponentialfamiliesandconvexanalysis

ExponentialFamilies

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• Canonicalparameterization

• Lognormalizationconstant

• Thisisaconvexfunction• Spaceofcanonicalparameters

GraphicalModelsasExponentialFamilies

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• Undirectedgraphicalmodel(MRF)

• MRFinexponentialform:

Example:GaussianMRF

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• Zero-meanmultivariateGaussiandistributionthatrespectstheMarkovpropertyofagraph

• GaussianMRFinexponentialform

Example:DiscreteMRF

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Whyexponentialfamilies

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• Computingtheexpectationofsufficientstatistics(meanparameters)giventhecanonicalparametersyieldsthemarginals

• Computingthenormalizeryieldsthelogpartitionfunction(orloglikelihoodfunction)

ComputingMeanParameter:Bernoulli

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• AsingleBernoullirandomvariable

• Inference=Computingthemeanparameter

• Inavariational manner:casttheprocedureofcomputingmeaninanoptimization-basedformulation

ConjugateDualFunction

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• Givenanyfunctionf(θ)itsconjugatedualfunctionis

• Conjugatedualisalwaysaconvexfunction:point-wisesupremumofaclassoflinearfunctions

DualoftheDualistheOriginal

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• Undersometechnicalconditionsonf(convexandlowersemi-continuous)thedualofdualisitself.

• Forlogpartitionfunction

ComputingMeanParameter:Bernoulli

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• Theconjugate

• Stationarycondition

• If

• If

• Wehave:

ComputingMeanParameter:Bernoulli

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• Theconjugate

• Stationarycondition

• Wehave:

• Thevariational form:

• Theoptimumisachievedat

Remarks

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• Thelastfewidentitiesrelyonadeeptheoryingeneralexponentialfamily:• Thedualfunctionisthenegativeentropyfunction• Themeanparameterisrestricted• Solvingtheoptimizationreturnsthemeanparameterandlogpartitionfunction

• Extendthistogeneralexponentialfamilies/graphicalmodels.

• However,• Computingtheconjugatedualentropyisingeneralintractable• Theconstraintsetofmeanparameterishardtocharacterize• Weneedtoapproximate

ComputetheConjugateDual

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• Givenanexponentialfamily

• Thedualfunction• Stationarycondition

• DerivativesofAyieldsthemeanparameters• Thestationaryconditionbecomes• Forwhichμwehaveasolutionθ(μ)?

ComputetheConjugateDual

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• Let’sassumethereisasolutionθ(μ) suchthat

• Thedualhastheform

• Theentropyisdefinedas

• Sothedualiswhenthereisasolutionθ(μ)

ComplexityofComputingConjugateDual

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• Thedualfunctionisimplicitlydefined:

• Solvingtheinversemappingisnon-trivial• Evaluatingthenegativeentropyrequireshigh-dimensionalintegration(summation)• Forwhichμ doesithaveasolutionθ(μ)?WhatisthedomainofA*(μ)

MarginalPolytope

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• Foranydistributionp(x)andasetofsufficientstatisticsφ(x)defineavectorofmeanparameters

• p(x)isnotnecessarilyanexponentialfamily

• Thesetofallrealizablemeanparametersisaconvexset

• Fordiscreteexp.familiesthisiscalledmarginalpolytope.

ConvexPolytope

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• Convexhullrepresentation

• Half-planerepresentation• Minkowski-WeylTheorem:anynon-emptyconvexpolytopecanbecharacterizedbyafinitecollectionoflinearinequalityconstraints

Example:Two-nodeIsing Model

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• Sufficientstatistics

• Meanparameters

• Two-nodeIsing model• Convexhullrepresentation

• Half-planerepresentation

MarginalPolytopeforGeneralGraphs

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• Stilldoableforconnectedbinarygraphswith3nodes:16constraints

• Fortreegraphicalmodels,thenumberofhalf-placesgrowsonlylinearlyinthegraphsize

• Generalgraphs?• Extremelyhardtocharacterizethemarginalpolytope.

Variational Principle

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• Thedualfunctiontakestheform

• Thelogpartitionfunctionhasthevariational form

• Forallθ theaboveoptimizationproblemisattaineduniquelyatμ(θ)thatsatisfies

Example:Two-nodeIsing Model

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• Thedistribution• Sufficientstatistics

• Themarginalpolytopeischaracterizedby

• Thedualhasanexplicitform

• Thevariational problemis• Theoptimumisattainedat

Variational Principle

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• Exactvariational formulation

• Meanfieldmethod:non-convexinnerboundandexactformofentropy

• BetheapproximationandLoopyBP:polyhedralouterboundandnon-convexBetheapproximation

BeliefPropagationAlgorithm

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• Messagepassingrule:

• Marginals

• Exactfortreesbutapproximateforloopygraphs• Howdoesthisrelatetothevariational principle?Fortrees/genericgraphs?

TreeGraphicalModels

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• DiscretevariablesonatreeT=(V,E)

• Sufficientstatistics

• Exponentialrepresentationofdistribution?• Meanparametersaremarginalprobabilities:

MarginalPolytopeforTrees

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• Marginalpolytopeforgeneralgraphs

• Byjunctiontreewehave:

• Ifthen

DecompositionofEntropyforTrees

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• Fortreestheentropydecomposesas(thisisalsoourdual!):

ExactVariational PrincipleforTrees

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• Variational formulation

• AssignaLagrangemultiplierforthenormalizationconstraintandeachmarginalizationconstraint

Lagrangian Derivation

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• TakingthederivativesoftheLagrangian wrt toμs μst

• Settingthemtozerosyields

BPonArbitraryGraphs

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• Twomaindifficultiesofthevariationformulation

• Themarginalpolytopeishardtocharacterize,solet’susethetree-basedouterbound

• Exactentropylacksexplicitform,solet’sapproximateitusingtheexactexpressionfortrees

BetheVariational Problem

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• CombiningthetwogivesustheBethevariational problem

• Whatishappening?• Tree-basedouterbound

MeanFieldApproximation

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TractableSubgraphs

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• ForanexponentialfamilywithsufficientstatisticsφdefinedongraphGthesetofrealizablemeanparametersetis

• Idea:restrictptoasubsetofdistributionsassociatedwithatractablesubgraph

MeanFieldMethods

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• ForagiventractablesubgraphF,asubsetofcanonicalparametersis

• Innerapproximation

• Meanfieldsolvestherelaxedproblem

• istheexactdualfunctionrestrictedto

Example:NaïveMeanFieldforIsing Model

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• Ising modelin{0,1}representation

• Meanparameters

• ForfullydisconnectedgraphF

• Thedualdecomposesintosum,oneforeachnode

Example:NaïveMeanFieldforIsing Model

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• Meanfieldproblem

• Thesameobjectivefunciton asinfreeenergybasedapproach

• Thenaïvemeanfieldupdateequations

• Lowerboundonlogpartitionfunction

GeometryofMeanField

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• Meanfieldoptimizationisalwaysnon-convexforanyexponentialfamilyinwhichthestatespaceisfinite

• Marginalpolytopeisaconvexhull

• containsalltheextremepoints(ifitisastrictsubsetthenitmustbenon-convex• Example:two-nodeising

• Paraboliccrosssectionalongτ1 =τ2

Summary

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• Variationmethodsingeneralturninfernece intoanoptimizationproblemviaexponentialfamiliesandconvexduality

• Theexactvariational principleisintractabletosolve;Twoapproximations:• Eitherinnerorouterboundtothemarginalpolytope• Variousapproximationstotheentropyfunction

• Mean-field:non-convexinnerboundandexactformofentropy• BP:polyhedralouterboundandnon-convexBetheapproximation