Scaling up Bayesian variational inference using distributed computing clusters

Abstract

In this paper we present an approach for scaling up Bayesian learning using variational methods by exploiting distributed computing clusters managed by modern big data processing tools like Apache Spark or Apache Flink, which e ciently support iterative map-reduce operations. Our approach is de ned as a distributed projected natural gradient ascent algorithm, has excellent convergence properties, and covers a wide range of conjugate exponential family models. We evaluate the proposed algorithm on three real-world datasets from di erent domains (the Pubmed abstracts dataset, a GPS trajectory dataset, and a nancial dataset) and using several models (LDA, factor analysis, mixture of Gaussians and linear regression models). Our approach compares favourably to stochastic variational inference and streaming variational Bayes, two of the main current proposals for scaling up variational methods. For the scalability analysis, we evaluate our approach over a network with more than one billion nodes and approx. 75% latent variables using a computer cluster with 128 processing units (AWS). The proposed methods are released as part of an open-source toolbox for scalable probabilistic machine learning (http://www.amidsttoolbox.com) Masegosa et al. (2017).