Papers › Bayesian Coresets: Revisiting the Nonconvex Optimization Perspective

Bayesian Coresets: Revisiting the Nonconvex Optimization Perspective

1 Jul 2020arXiv:2007.00715archive 2025-07-28

Jacky Y. Zhang, Rajiv Khanna, Anastasios Kyrillidis, Oluwasanmi Koyejo

Bayesian coresets have emerged as a promising approach for implementing scalable Bayesian inference. The Bayesian coreset problem involves selecting a (weighted) subset of the data samples, such that the posterior inference using the selected subset closely approximates the posterior inference using the full dataset. This manuscript revisits Bayesian coresets through the lens of sparsity constrained optimization. Leveraging recent advances in accelerated optimization methods, we propose and analyze a novel algorithm for coreset selection. We provide explicit convergence rate guarantees and present an empirical evaluation on a variety of benchmark datasets to highlight our proposed algorithm's superior performance compared to state-of-the-art on speed and accuracy.

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