Semi-implicit variational inference (SIVI) has been introduced to expand the analytical variational families by defining expressive semi-implicit distributions in a hierarchical manner. However, the single-layer architecture commonly used in current SIVI methods can be insufficient when the target posterior has complicated structures. In this paper, we propose hierarchical semi-implicit variational inference, called HSIVI, which generalizes SIVI to allow more expressive multi-layer construction of semi-implicit distributions. By introducing auxiliary distributions that interpolate between a simple base distribution and the target distribution, the conditional layers can be trained by progressively matching these auxiliary distributions one layer after another. Moreover, given pre-trained score networks, HSIVI can be used to accelerate the sampling process of diffusion models with the score matching objective. We show that HSIVI significantly enhances the expressiveness of SIVI on several Bayesian inference problems with complicated target distributions. When used for diffusion model acceleration, we show that HSIVI can produce high quality samples comparable to or better than the existing fast diffusion model based samplers with a small number of function evaluations on various datasets.
Particle-based variational inference methods (ParVIs) such as Stein variational gradient descent (SVGD) update the particles based on the kernelized Wasserstein gradient flow for the Kullback-Leibler (KL) divergence. However, the design of kernels is often non-trivial and can be restrictive for the flexibility of the method. Recent works show that functional gradient flow approximations with quadratic form regularization terms can improve performance. In this paper, we propose a ParVI framework, called generalized Wasserstein gradient descent (GWG), based on a generalized Wasserstein gradient flow of the KL divergence, which can be viewed as a functional gradient method with a broader class of regularizers induced by convex functions. We show that GWG exhibits strong convergence guarantees. We also provide an adaptive version that automatically chooses Wasserstein metric to accelerate convergence. In experiments, we demonstrate the effectiveness and efficiency of the proposed framework on both simulated and real data problems.
Semi-implicit variational inference (SIVI) greatly enriches the expressiveness of variational families by considering implicit variational distributions defined in a hierarchical manner. However, due to the intractable densities of variational distributions, current SIVI approaches often use surrogate evidence lower bounds (ELBOs) or employ expensive inner-loop MCMC runs for unbiased ELBOs for training. In this paper, we propose SIVI-SM, a new method for SIVI based on an alternative training objective via score matching. Leveraging the hierarchical structure of semi-implicit variational families, the score matching objective allows a minimax formulation where the intractable variational densities can be naturally handled with denoising score matching. We show that SIVI-SM closely matches the accuracy of MCMC and outperforms ELBO-based SIVI methods in a variety of Bayesian inference tasks.