Variational refinement for importance sampling using the forward Kullback-Leibler divergence

Ghassen Jerfel, Serena Wang, Clara Wong-Fannjiang, Katherine A. Heller, Yian Ma, Michael I. Jordan

Abstract: Variational Inference (VI) is a popular alternative to asymptotically exact sampling in Bayesian inference. Its main workhorse is optimization over a reverse Kullback-Leibler divergence (RKL), whic...