Skip to yearly menu bar Skip to main content


Approximation Based Variance Reduction for Reparameterization Gradients

Tomas Geffner · Justin Domke

Poster Session 3 #854


Flexible variational distributions improve variational inference but are harder to optimize. In this work we present a control variate that is applicable for any reparameterizable distribution with known mean and covariance, e.g. Gaussians with any covariance structure. The control variate is based on a quadratic approximation of the model, and its parameters are set using a double-descent scheme. We empirically show that this control variate leads to large improvements in gradient variance and optimization convergence for inference with non-factorized variational distributions.

Chat is not available.