Variational Inference with Rényi Divergence

@article{Li2016VariationalIW,
  title={Variational Inference with R{\'e}nyi Divergence},
  author={Yingzhen Li and Richard E. Turner},
  journal={CoRR},
  year={2016},
  volume={abs/1602.02311}
}
We introduce the variational Rényi bound (VR) that extends traditional variational inference to Rényi’s alpha-divergences. This new family of variational lower-bounds unifies a number of existing variational methods, and enables a smooth interpolation from the evidence lower-bound to the log (marginal) likelihood that is controlled by the value of alpha. The reparameterization trick, Monte Carlo estimation and stochastic optimisation methods are deployed to obtain a unified implementation for… CONTINUE READING
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