Streaming stochastic variational Bayes: An improved approach for inference with concept drifting data streams

Abstract

Online learning is an essential tool for predictive analysis based on continuous, endless data streams. Adopting Bayesian inference for online settings allows hierarchical modeling while representing the uncertainty of model parameters. Existing online inference techniques are motivated by either the traditional Bayesian updating or the stochastic optimizations. However, traditional Bayesian updating suffers from overconfident posteriors, where posterior variance becomes too inadequate to adapt to new changes to the posterior with concept drifting data streams. On the other hand, stochastic optimization of variational objective demands exhausting additional analysis to optimize a hyperparameter that controls the posterior variance. In this paper, we present “Streaming Stochastic Variational Bayes” (SSVB) —a novel online approximation inference framework for data streaming to address the aforementioned shortcomings of the current state-of-the-art. SSVB adjusts its posterior variance duly without any userspecified hyperparameters to control the posterior variance while efficiently accommodating the drifting patterns to the posteriors. Moreover, SSVB can be easily adopted by practitioners for a wide range of models (i.e. simple regression models to complex hierarchical models) with little additional analysis. We demonstrate the superior performance of SSVB against Population Variational Inference (PVI), Stochastic Variational Inference (SVI) and Black-box Streaming Variational Bayes (BB-SVB) using two non-conjugate probabilistic models: multinomial logistic regression and linear mixed effect model. Furthermore, we also emphasize the significant accuracy gain with SSVB based inference against conventional online learning models for each task.