Projected Stein Variational Newton: A Fast and Scalable Bayesian Inference Method in High Dimensions

Contributions: In this work, we develop a projected Stein variational Newton method (pSVN) to tackle the challenge of high-dimensional Bayesian inference by exploiting the intrinsic lowdimensional geometric structure of the posterior distribution (where it departs from the prior), as characterized by the dominant spectrum of the prior-preconditioned Hessian of the negative log likelihood.