Add Variational Inference Interface to PyMC4
- Mentors
- Thomas Wiecki, Maxim Kochurov
- Organization
- NumFOCUS
Variational Inference is a powerful algorithm that turns the task of computing the posterior(p(z|x)) into an optimization problem. This project is about implementing two inference algorithms Mean Field ADVI and Full Rank ADVI based on ADVI paper in PyMC4. Mean Field ADVI posits a spherical Gaussian family and Full Rank ADVI posits a Multivariate Gaussian family to minimize KL divergence. The implementation will use tf
and tfp
libraries.