Keywords: support of distribution, forward KL, reverse KL, absolute continuity (greatly influence the properties of approximation)
Keywords: support of distribution, forward KL, reverse KL, absolute continuity (greatly influence the properties of approximation)
This note includes mean-field and structured variational families. Besides VI, mean-field and other variational family can also be used in the inference of probabilistic neural network.
Compared to MCMC, variational Inference is a faster method to approximate difficult-to-compute posterior distribution. Variational Inference is an optimization problem, while MCMC is an asymptotic method.
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