Abstract
While it's always possible to compute a variational approximation to a
posterior distribution, it can be difficult to discover problems with this
approximation. We propose two diagnostic algorithms to alleviate this problem.
The Pareto-smoothed importance sampling (PSIS) diagnostic gives a goodness of
fit measurement for joint distributions, while simultaneously improving the
error in the estimate. The variational simulation-based calibration (VSBC)
assesses the average performance of point estimates.
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