Sum-of-Squares Relaxations for Information Theory and Variational Inference

Francis Bach (1)

1 SIERRA - Statistical Machine Learning and Parsimony

We consider extensions of the Shannon relative entropy, referred to as f-divergences. Three classical related computational problems are typically associated with these divergences: (a) estimation from moments, (b) computing normalizing integrals, and (c) variational inference in probabilistic models. These problems are related to one another through convex duality, and for all them, there are many applications throughout data science, and we aim for computationally tractable approximation algorithms that preserve properties of the original problem such as potential convexity or monotonicity. In order to achieve this, we derive a sequence of convex relaxations for computing these divergences from non-centered covariance matrices associated with a given feature vector: starting from the typically non-tractable optimal lower-bound, we consider an additional relaxation based on "sums-of-squares", which is is now computable in polynomial time as a semidefinite program, as well as further computationally more efficient relaxations based on spectral information divergences from quantum information theory. For all of the tasks above, beyond proposing new relaxations, we derive tractable algorithms based on augmented Lagrangians and first-order methods, and we present illustrations on multivariate trigonometric polynomials and functions on the Boolean hypercube.

Domaines: Apprentissage [cs.LG]; Optimisation et contrôle [math.OC]; Machine Learning [stat.ML]; Théorie de l'information [cs.IT]

Francis Bach. Sum-of-Squares Relaxations for Information Theory and Variational Inference. 2022. ⟨hal-03703475v1⟩