We explore an as yet unexploited opportunity for drastically improving the efficiency of stochastic gradient variational Bayes (SGVB) with global model parameters. Regular SGVB estimators rely on sampling of parameters once per minibatch of data, and have variance that is constant w.r.t. the minibatch size. The efficiency of such estimators can be drastically improved upon by translating uncertainty about global parameters into local noise that is independent across datapoints in the minibatch. Such reparameterizations with local noise can be trivially parallelized and have variance that is inversely proportional to the minibatch size, generally leading to much faster convergence. We find an important connection with regularization by dropout: the original Gaussian dropout objective corresponds to SGVB with local noise, a scale-invariant prior and proportionally fixed posterior variance. Our method allows inference of more flexibly parameterized posteriors; specifically, we propose \emph{variational dropout}, a generalization of Gaussian dropout, but with a more flexibly parameterized posterior, often leading to better generalization. The method is demonstrated through several experiments.

本文探讨了一种局部重参数技术来大大减少变分贝叶斯推断（SGVB）的随机梯度方差，同时保留并行可行性，并且将全局参数的不确定性转化为本地噪声，本方法可以推广到更加灵活参数化的后验分布中，同时探究了一种与dropout的关联。

变分 Dropout 和局部重参数化技巧