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- W2752539956 abstract "Variational inference (VI) is widely used as an efficient alternative to Markov chain Monte Carlo. It posits a family of approximating distributions $q$ and finds the closest member to the exact posterior $p$. Closeness is usually measured via a divergence $D(q || p)$ from $q$ to $p$. While successful, this approach also has problems. Notably, it typically leads to underestimation of the posterior variance. In this paper we propose CHIVI, a black-box variational inference algorithm that minimizes $D_{chi}(p || q)$, the $chi$-divergence from $p$ to $q$. CHIVI minimizes an upper bound of the model evidence, which we term the $chi$ upper bound (CUBO). Minimizing the CUBO leads to improved posterior uncertainty, and it can also be used with the classical VI lower bound (ELBO) to provide a sandwich estimate of the model evidence. We study CHIVI on three models: probit regression, Gaussian process classification, and a Cox process model of basketball plays. When compared to expectation propagation and classical VI, CHIVI produces better error rates and more accurate estimates of posterior variance." @default.
- W2752539956 created "2017-09-15" @default.
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- W2752539956 date "2016-11-01" @default.
- W2752539956 modified "2023-09-27" @default.
- W2752539956 title "Variational Inference via $chi$-Upper Bound Minimization" @default.
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