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12.5 Variational inference

Variational inference also runs similar to sampling. It begins by reading the data and initializing the algorithm. The initial variational approximation is a random draw from the standard normal distribution in the unconstrained (real-coordinate) space. Again, similar to sampling, it outputs draws from the approximate posterior once the algorithm has decided that it has converged. Thus, the tools we use for analyzing the result of Stan’s sampling routines can also be used for variational inference.