Extending Mean-Field Variational Inference via Entropic Regularization: Theory and Computation
基于熵正则化的扩展平均场变分推断:理论与计算
Variational inference (VI) has emerged as a popular method for approximate inference for high-dimensional Bayesian models. In this paper, we propose a novel VI method that extends the naive mean field via entropic regularization, referred to as $Ξ$-variational inference ($Ξ$-VI). $Ξ$-VI has a close connection to the entropic optimal transport problem and benefits from the computationally efficient Sinkhorn algorithm. We show that $Ξ$-variational posteriors effectively…