Rethinking Variational Inference for Probabilistic Programs with Stochastic Support

Code

• github.com/treigerm/sdvi_neurips
  OfficialIn paperpytorch★ 2

Abstract

We introduce Support Decomposition Variational Inference (SDVI), a new variational inference (VI) approach for probabilistic programs with stochastic support. Existing approaches to this problem rely on designing a single global variational guide on a variable-by-variable basis, while maintaining the stochastic control flow of the original program. SDVI instead breaks the program down into sub-programs with static support, before automatically building separate sub-guides for each. This decomposition significantly aids in the construction of suitable variational families, enabling, in turn, substantial improvements in inference performance.

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