Probability Seminar

Title: Local convexity of the TAP free energy and AMP convergence for Z2-synchronization
Speaker: Song Mei
Speaker Info: University of California - Berkeley
Brief Description:
Special Note:

We study mean-field variational Bayesian inference using the TAP approach, for Z2-synchronization as a prototypical example of a high-dimensional Bayesian model. We show that for any signal strength lambda > 1 (the weak-recovery threshold), there exists a unique local minimizer of the TAP free energy functional near the mean of the Bayes posterior law. Furthermore, the TAP free energy in a local neighborhood of this minimizer is strongly convex. Consequently, a natural-gradient/mirror-descent algorithm achieves linear convergence to this minimizer from a local initialization, which may be obtained by a finite number of iterates of Approximate Message Passing (AMP). This provides a rigorous foundation for variational inference in high dimensions via minimization of the TAP free energy. We also analyze the finite-sample convergence of AMP, showing that AMP is asymptotically stable at the TAP minimizer for any lambda > 1, and is linearly convergent to this minimizer from a spectral initialization for sufficiently large lambda. Such a guarantee is stronger than results obtainable by state evolution analyses, which only describe a fixed number of AMP iterations in the infinite-sample limit.

Date: Wednesday, September 15, 2021
Time: 4:00PM
Where: https://northwestern.zoom.us/j/907400031
Contact Person: Antonio Auffinger
Contact email: tuca@northwestern.edu
Contact Phone:
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