Asymptotic Consistency of Loss-Calibrated Variational Bayes

4 Nov 2019Prateek JaiswalHarsha HonnappaVinayak A. Rao

This paper establishes the asymptotic consistency of the {\it loss-calibrated variational Bayes} (LCVB) method. LCVB was proposed in~\cite{LaSiGh2011} as a method for approximately computing Bayesian posteriors in a `loss aware' manner... (read more)

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