Part of Advances in Neural Information Processing Systems 34 (NeurIPS 2021)
Chao Ma, José Miguel Hernández-Lobato
Bayesian inference in the space of functions has been an important topic for Bayesian modeling in the past. In this paper, we propose a new solution to this problem called Functional Variational Inference (FVI). In FVI, we minimize a divergence in function space between the variational distribution and the posterior process. This is done by using as functional variational family a new class of flexible distributions called Stochastic Process Generators (SPGs), which are cleverly designed so that the functional ELBO can be estimated efficiently using analytic solutions and mini-batch sampling. FVI can be applied to stochastic process priors when random function samples from those priors are available. Our experiments show that FVI consistently outperforms weight-space and function space VI methods on several tasks, which validates the effectiveness of our approach.