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AIDE: An algorithm for measuring the accuracy of probabilistic inference algorithms
Marco Cusumano-Towner · Vikash Mansinghka

Tue Dec 05 06:30 PM -- 10:30 PM (PST) @ Pacific Ballroom #185 #None

Approximate probabilistic inference algorithms are central to many fields. Examples include sequential Monte Carlo inference in robotics, variational inference in machine learning, and Markov chain Monte Carlo inference in statistics. A key problem faced by practitioners is measuring the accuracy of an approximate inference algorithm on a specific data set. This paper introduces the auxiliary inference divergence estimator (AIDE), an algorithm for measuring the accuracy of approximate inference algorithms. AIDE is based on the observation that inference algorithms can be treated as probabilistic models and the random variables used within the inference algorithm can be viewed as auxiliary variables. This view leads to a new estimator for the symmetric KL divergence between the approximating distributions of two inference algorithms. The paper illustrates application of AIDE to algorithms for inference in regression, hidden Markov, and Dirichlet process mixture models. The experiments show that AIDE captures the qualitative behavior of a broad class of inference algorithms and can detect failure modes of inference algorithms that are missed by standard heuristics.

Author Information

Marco Cusumano-Towner (Massachusetts Institute of Technology)
Vikash Mansinghka (Massachusetts Institute of Technology)

Vikash Mansinghka is a research scientist at MIT, where he leads the Probabilistic Computing Project. Vikash holds S.B. degrees in Mathematics and in Computer Science from MIT, as well as an M.Eng. in Computer Science and a PhD in Computation. He also held graduate fellowships from the National Science Foundation and MIT’s Lincoln Laboratory. His PhD dissertation on natively probabilistic computation won the MIT George M. Sprowls dissertation award in computer science, and his research on the Picture probabilistic programming language won an award at CVPR. He served on DARPA’s Information Science and Technology advisory board from 2010-2012, and currently serves on the editorial boards for the Journal of Machine Learning Research and the journal Statistics and Computation. He was an advisor to Google DeepMind and has co-founded two AI-related startups, one acquired and one currently operational.

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