Approximation Based Variance Reduction for Reparameterization Gradients

Part of Advances in Neural Information Processing Systems 33 pre-proceedings (NeurIPS 2020)

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Tomas Geffner, Justin Domke


<p>Flexible variational distributions improve variational inference but are harder to optimize. In this work we present a control variate that is applicable for any reparameterizable distribution with known mean and covariance, e.g. Gaussians with any covariance structure. The control variate is based on a quadratic approximation of the model, and its parameters are set using a double-descent scheme. We empirically show that this control variate leads to large improvements in gradient variance and optimization convergence for inference with non-factorized variational distributions.</p>