NeurIPS 2018 Day 1: Tutorials

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Monday was the first day of the core conference, following the Expo on Sunday. There were a number of really interesting tutorials. Here’s a brief summary of the three I managed to attend.

Scalable Bayesian Inference (Professor David Dunson)

This tutorial explored one main question: how do we go beyond point estimates to robust uncertainty quantification when we have lots of samples (i.e. ’n’ is large) or lots of dimensions (i.e. ‘p’ is large)?

The introduction was Professor Dunson’s personal ode to Markov Chain Monte Carlo (MCMC) methods, and in particular the Metropolis-Hastings algorithm. In his words, “Metropolis-Hastings is one of the most beautiful algorithms ever devised”.

He tackled some of the reasons for the (in his view incorrect) belief that MCMC doesn’t scale, and showed how MCMC methods can now be used to perform bayesian inference even on very large data sets. Some key approaches involve clever parallelisation ( WASP/PIE) and approximating transition kernels ( aMCMC). Interestingly, some of these techniques have the combined advantage of improving computational efficiency and mixing (an analogue of exploration in bayesian inference).