17 Variational Inference

Stan implements an automatic variational inference algorithm, called Automatic Differentiation Variational Inference (ADVI) Kucukelbir et al. (2015). In this chapter, we describe the specifics of how ADVI maximizes the variational objective.

References

Kucukelbir, Alp, Rajesh Ranganath, Andrew Gelman, and David M. Blei. 2015. “Automatic Variational Inference in Stan.” arXiv 1506.03431. http://arxiv.org/abs/1506.03431.