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!
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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.
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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.
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@Bob_Carpenter Does the current version of STAN handle minibatches for ADVI? Based on the current documentation available at
https://mc-stan.org/docs/reference-manual/variational.html#stochastic-gradient-ascent
it seems so. If that is indeed the case, then my question is: which argument refers to the batch sizes? elbo_samples
or grad_samples
?
Thnaks! =)