A Deterministic Global Optimization Method for Variational Inference
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Variational inference methods for latent variable statistical models have gained popularity because they are relatively fast, can handle large data sets, and have deterministic convergence guarantees. However, in practice it is unclear whether the fixed point identified by the variational inference algorithm is a local or a global optimum. Here, we propose a method for constructing iterative optimization algorithms for variational inference problems that are guaranteed to converge to the ϵ-global variational lower bound on the log-likelihood. We derive inference algorithms for two variational approximations to a standard Bayesian Gaussian mixture model (BGMM). We present a minimal data set for empirically testing convergence and show that a variational inference algorithm frequently converges to a local optimum while our algorithm always converges to the globally optimal variational lower bound. We characterize the loss incurred by choosing a non-optimal variational approximation distribution suggesting that selection of the approximating variational distribution deserves as much attention as the selection of the original statistical model for a given data set.
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