We present an approximate inference method, based on a synergistic combination of R\'enyi $\alpha$-divergence variational inference (RDVI) and rejection sampling (RS). RDVI is based on minimization of R\'enyi $\alpha$-divergence $D_\alpha(p||q)$ between the true distribution $p(x)$ and a variational approximation $q(x)$; RS draws samples from a distribution $p(x) = \tilde{p}(x)/Z_{p}$ using a proposal $q(x)$, s.t... (read more)

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