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Implement VIMCO and OVIS

Open HEmile opened this issue 5 years ago • 1 comments

Importance Weighted autoencoder bounds (IWAE) are easily implemented using Storchastic, but don't work out of the box: Using the score function with batch average on the ELBO is not the same as VIMCO, for example, as it reduces the samples somewhat differently. Maybe it is possible to create a general VI API that allows automatically choosing between ELBO and VIMCO depending on the estimator used.

HEmile avatar Aug 17 '20 09:08 HEmile

One way this could be implemented is by using a different objective, ie a storch function that automatically reduces the correct plate.

HEmile avatar Aug 17 '20 13:08 HEmile