minibatch sub-sampling with ADVI

[inti pedroso]

Hello,

I have the following mixture model, https://gist.github.com/inti/f8b91ee7bcb98288e314. I want to implement ADVI using sub-sampling/minibatches. 

I have checked the pre-print Automatic Variational Inference in Stan by Kucukelbir et al. Looking the example of ADVI with mini batches on Figure 10 and 11 but I still cannot get my head around on how is implemented. 

Are the mini-batches defined from the start? how is the data sub-sampled during the inference? 

Any help would be very much welcomed.

Thanks in advance

Kind Regards,

Inti

[Bob Carpenter]

Mini-batching isn't supported through Stan yet. They
figured out how to make it work for the paper, but we
still need to figure out how to define what the minibatches
are (and perhaps batch-related parameters) before interfacing
to general Stan models.

- Bob

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[Inti Pedroso]

Thanks for the clarification!
Cheers
Inti

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[Dustin Tran]

Hi Inti,

Meanwhile, we have a short tutorial documenting how to do a hack so that you can do data subsampling with ADVI:

https://github.com/stan-dev/stan/blob/adsvi/how_to_ADSVI.md

Dustin

[Inti Pedroso]

Thanks, will git a go!

[Bob Carpenter]

Cool --- didn't know that was there.

- Bob

[Alp Kucukelbir]

inti: let us know how it goes; i've used that strategy to good effect, but not on many models.

cheers,

alp