Stein Variational Gradient Descent: A General Purpose Bayesian Inference Algorithm

NeurIPS 2016 Qiang LiuDilin Wang

We propose a general purpose variational inference algorithm that forms a natural counterpart of gradient descent for optimization. Our method iteratively transports a set of particles to match the target distribution, by applying a form of functional gradient descent that minimizes the KL divergence... (read more)

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