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• W2806981709 abstract "We exploit the link between the transport equation and derivatives of expectations to construct efficient pathwise gradient estimators for multivariate distributions. We focus on two main threads. First, we use null solutions of the transport equation to construct adaptive control variates that can be used to construct gradient estimators with reduced variance. Second, we consider the case of multivariate mixture distributions. In particular we show how to compute pathwise derivatives for mixtures of multivariate Normal distributions with arbitrary means and diagonal covariances. We demonstrate in a variety of experiments in the context of variational inference that our gradient estimators can outperform other methods, especially in high dimensions." @default.
• W2806981709 created "2018-06-13" @default.
• W2806981709 creator A5054350362 @default.
• W2806981709 creator A5064498575 @default.
• W2806981709 date "2018-06-05" @default.
• W2806981709 modified "2023-09-27" @default.
• W2806981709 title "Pathwise Derivatives for Multivariate Distributions" @default.
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• W2806981709 hasPublicationYear "2018" @default.
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