Stein Variational Gradient Descent (SVGD)

SVGD is a general purpose variational inference algorithm that forms a natural counterpart of gradient descent for optimization. SVGD iteratively transports a set of particles to match with the target distribution, by applying a form of functional gradient descent that minimizes the KL divergence.

The package contains implementation of SVGD in both Matlab and Python language. Demos are also provided to reproduce the results in our paper. The Bayesian neural network example is based on Theano.

For more information, please visit our project website - SVGD.

Toy example on 1D Gaussian Mixture

Toy example with 1D Gaussian mixture. The red dashed lines are the target density function and the solid green lines are the densities of the particles at different iterations of our algorithm (estimated using kernel density estimator).

Basic Usage

'''
  x0: initial particles
  dlnprob: returns first order derivative of log probability
  n_iter: number of iterations
  stepsize: initial learning rate 
'''
theta = SVGD().update(x0, dlnprob, n_iter, stepsize)

Citation

Qiang Liu and Dilin Wang. Stein Variational Gradient Descent (SVGD): A General Purpose Bayesian Inference Algorithm. NIPS, 2016.

Feedback

Feedback is greatly appreciated. If you have any questions, comments, issues or anything else really, shoot me an email.

Project Name	Stars	Repos Using This	Packages Using This	Most Recent Commit	Total Releases	Latest Release	Open Issues	License	Language
Spearmint	1,310			6 years ago			47		Python
Spearmint is a package to perform Bayesian optimization according to the algorithms outlined in the paper: Practical Bayesian Optimization of Machine Learning Algorithms. Jasper Snoek, Hugo Larochelle and Ryan P. Adams. Advances in Neural Information Processing Systems, 2012
Probreg	670		1	a month ago	31	January 08, 2022	8	mit	Python
Python package for point cloud registration using probabilistic model (Coherent Point Drift, GMMReg, SVR, GMMTree, FilterReg, Bayesian CPD)
Bandits	472			4 years ago			1	apache-2.0	Jupyter Notebook
Python library for Multi-Armed Bandits
Simple	432			6 years ago			3	agpl-3.0	Python
Experimental Global Optimization Algorithm
Btcpredictor	269			6 years ago			3	mit	Matlab
Bitcoin price prediction algorithm using bayesian regression techniques
Stein Variational Gradient Descent	261			4 years ago			1	mit	Python
code for the paper "Stein Variational Gradient Descent (SVGD): A General Purpose Bayesian Inference Algorithm"
Pilco	213			3 years ago			12	mit	Python
Bayesian Reinforcement Learning in Tensorflow
Optimviz	119			2 years ago			1	gpl-3.0	MATLAB
Visualize optimization algorithms in MATLAB.
Data_sciences_campaign	92			13 hours ago			2		Jupyter Notebook
【数据科学家系列课程】
Trueskill	72	35		10 years ago	5	January 18, 2011	4	mit	Ruby
a ruby gem that implements the trueskill algorithm