Variance reduction properties of the reparameterization trick

27 Sep 2018 Ming Xu Matias Quiroz Robert Kohn Scott A. Sisson

The reparameterization trick is widely used in variational inference as it yields more accurate estimates of the gradient of the variational objective than alternative approaches such as the score function method. Although there is overwhelming empirical evidence in the literature showing its success, there is relatively little research exploring why the reparameterization trick is so effective... (read more)

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