Deep learning and the use of deep neural networks [cite key="bishop1995neural"] are now established as a key tool for practical machine learning. Neural networks have an equivalence with many existing statistical and machine learning approaches and I would like to explore one of these views in this post. In particular, I'll look at the view of deep neural networks as recursive generalised linear models (RGLMs). Generalised linear models form one of the cornerstones of probabilistic modelling and are used in almost every field of experimental science, so this connection is an extremely useful one to have in mind. I'll focus here on what are called feedforward neural networks and leave a discussion of the statistical connections to recurrent networks to another post.
The NIPS 2014 Workshop on Advances in Variational Inference was abuzz with new methods and ideas for scalable approximate inference. The concluding event of the workshop was a lively debate with David Blei, Neil Lawrence, Zoubin Ghahramani, Shinichi Nakajima and Matthias Seeger on the history, trends and open questions in variational inference. One of the questions posed to our panel and audience was: 'what are your variational inference tricks-of-the-trade?'
My current best-practice at present includes: stochastic approximation, Monte Carlo estimation, amortised inference and powerful software tools. But this is a though-provoking question that has has motivated me think in some more detail through my current variational inference tricks-of-the-trade, which are:
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