Tuning-Free Maximum Likelihood Training of Latent Variable Models via Coin Betting

Sharrock, Louis and Dodd, Daniel and Nemeth, Christopher (2024) Tuning-Free Maximum Likelihood Training of Latent Variable Models via Coin Betting. Proceedings of Machine Learning Research, 238. pp. 1810-1818. ISSN 1938-7228

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Abstract

We introduce two new particle-based algo- rithms for learning latent variable models via marginal maximum likelihood estimation, including one which is entirely tuning-free. Our methods are based on the perspective of marginal maximum likelihood estimation as an optimization problem: namely, as the minimization of a free energy functional. One way to solve this problem is via the discretiza- tion of a gradient flow associated with the free energy. We study one such approach, which resembles an extension of Stein varia- tional gradient descent, establishing a descent lemma which guarantees that the free energy decreases at each iteration. This method, and any other obtained as the discretization of the gradient flow, necessarily depends on a learn- ing rate which must be carefully tuned by the practitioner in order to ensure convergence at a suitable rate. With this in mind, we also propose another algorithm for optimizing the free energy which is entirely learning rate free, based on coin betting techniques from convex optimization. We validate the performance of our algorithms across several numerical ex- periments, including several high-dimensional settings. Our results are competitive with existing particle-based methods, without the need for any hyperparameter tuning.