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Joint control variate for faster black-box variational inference

Xi Wang · · Justin Domke

MR1 & MR2 - Number 161
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Thu 2 May 8 a.m. PDT — 8:30 a.m. PDT


Black-box variational inference performance is sometimes hindered by the use of gradient estimators with high variance. This variance comes from two sources of randomness: Data subsampling and Monte Carlo sampling. While existing control variates only address Monte Carlo noise, and incremental gradient methods typically only address data subsampling, we propose a new "joint" control variate that jointly reduces variance from both sources of noise. This significantly reduces gradient variance, leading to faster optimization in several applications.

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