Variational Bayesian Inference with Stochastic Search

Understand

Mean-field variational inference is a method for approximate Bayesian posterior inference.

• It approximates a full posterior distribution with a factorized set of distributions by maximizing a lower bound on the marginal likelihood.
• This requires the ability to integrate a sum of terms in the log joint likelihood using this factorized distribution.
• Often not all integrals are in closed form, which is typically handled by using a lower bound.