Stein Variational Gradient Descent: A General Purpose Bayesian Inference Algorithm

@inproceedings{Liu2016SteinVG,
  title={Stein Variational Gradient Descent: A General Purpose Bayesian Inference Algorithm},
  author={Qiang Liu and Dilin Wang},
  booktitle={NIPS},
  year={2016}
}
We propose a general purpose variational inference algorithm that forms a natural counterpart of gradient descent for optimization. Our method iteratively transports a set of particles to match the target distribution, by applying a form of functional gradient descent that minimizes the KL divergence. Empirical studies are performed on various real world models and datasets, on which our method is competitive with existing state-of-the-art methods. The derivation of our method is based on a new… CONTINUE READING
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