Streaming data with ADVI (minibatch)


I’m currently trying to implement a linear regression model that takes streaming events to train the model incrementally. I know that Stan supports ADVI and ADVI can be used with minibatches. Yet, I can’t figure out a way to estimate the regression coefficients incrementally using the ADVI mini-batch implementation in Stan.

Can someone please help me to figure this out?

Thank you!


There is no minibatch implementat of ADVI in Stan. Alp hacked the underlying C++ for the paper, but we never made the connection to the modeling language and interfaces.


Thank you @Bob_Carpenter.

To further clarify, is that mean that Stan does not support Bayesian Inference in streaming fashion, by any other means.


Correct. At least not yet.