Is Variational message passing implemented in EP Stan?

stan-math

#1

Hi, I have been using EP-stan in its simulation mode. I start reading Gelman’s EP paper which mentions the variational approach as one of the alternative methods. I know ADVI is part of stan, but not parallelized. I am wondering whether there is any parallel implementation of the variational approach in the works along the line of EP-stan.


#2

No. We need to get ADVI first more reliable and we are working on that.


#3

As I understand advi is not a parallel computing implementation right now. Will it be once you complete it’s improvement?


#4

We will make further decisions after we have something we can recommend to be used (ie it needs to have reliable diagnostic (solved) and it needs to work reliably in a regime we can describe sufficiently). EP-life style parallel ADVI is not on the top of todo list. ADVI will benefit from MPI and GPU parallelizations which are in progress.


#5

Nothing’s ever complete! But no, we’re not planning on parallelizing it until we can understand the serial version. I think PyMC3 and Edward both have stochastic variational inference implemented.