Differentiable Antithetic Sampling for Variance Reduction in Stochastic Variational Inference

Code

• github.com/mhw32/antithetic-vae-public
  OfficialIn paperpytorch★ 0

Abstract

Stochastic optimization techniques are standard in variational inference algorithms. These methods estimate gradients by approximating expectations with independent Monte Carlo samples. In this paper, we explore a technique that uses correlated, but more representative , samples to reduce estimator variance. Specifically, we show how to generate antithetic samples that match sample moments with the true moments of an underlying importance distribution. Combining a differentiable antithetic sampler with modern stochastic variational inference, we showcase the effectiveness of this approach for learning a deep generative model.

Tasks

Reproductions