Title: Boosting Variational Inference: an Optimization Perspective,
Abstract: Variational inference is a popular technique to approximate a possibly
intractable Bayesian posterior with a more tractable one. Recently, boosting
variational inference has been proposed as a new paradigm to approximate the
posterior by a mixture of densities by greedily adding components to the
mixture. However, as is the case with many other variational inference
algorithms, its theoretical properties have not been studied. In the present
work, we study the convergence properties of this approach from a modern
optimization viewpoint by establishing connections to the classic Frank-Wolfe
algorithm. Our analyses yields novel theoretical insights regarding the
sufficient conditions for convergence, explicit rates, and algorithmic
simplifications. Since a lot of focus in previous works for variational
inference has been on tractability, our work is especially important as a much
needed attempt to bridge the gap between probabilistic models and their
corresponding theoretical properties.