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Yay Stan! So what's the deal with BBVI? I heard it's integrated in the newest Stan, but can I use it? What for?
by chmullig 11y ago
Yay Stan! So what's the deal with BBVI? I heard it's integrated in the newest Stan, but can I use it? What for?
- proditus 11y agoglad to see the enthusiasm! ADVI [1] is a variant of BBVI [2] where we fully leverage all of the amazing things that Stan has to offer (like automatic differentiation and automatic transformations of constrained parameters). you can use ADVI to get an approximation to the Bayesian posterior. the advantage of using ADVI over sampling is that ADVI is typically faster for large models (both in terms of # of parameters and # of data observations). ADVI also a bit better at handling models with multi-modal posteriors, such as mixture models. ADVI is currently in cmdStan (but not in RStan or PyStan). we're continuing to make the algorithm more robust. [1] http://arxiv.org/abs/1506.03431 http://arxiv.org/abs/1506.03431 [2] http://www.jmlr.org/proceedings/papers/v33/ranganath14.pdf http://www.jmlr.org/proceedings/papers/v33/ranganath14.pdf