Yes, but Did It Work?: Evaluating Variational Inference
2018
While it's always possible to compute a variational approximation to a posterior distribution, it can be difficult to discover problems with this approximation". We propose two diagnostic algorithms to alleviate this problem. The Pareto-smoothed importance sampling (PSIS) diagnostic gives a goodness of fit measurement for joint distributions, while simultaneously improving the error in the estimate. The variational simulation-based calibration (VSBC) assesses the average performance of point estimates.
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
0
References
32
Citations
NaN
KQI