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Inference as an Optimization Problem

Exact inference can be described as an optimization problem. Thus, approximate inference algorithms can be derived by approximating the underlying optimization. We assume a probabilistic model consisting of observed variables vv and latent variables hh. Sometimes it is too difficult to compute the log-probability (logp(v;θ)log p(v;\theta)) of the observed data, so we can instead compute a lower bound L(v,θ,q)\mathcal{L}(v, \theta,q) on logp(v;θ)log p(v;\theta), called the evidence lower bound (ELBO), or the negative variational free energy.

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Updated 2021-07-29

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Data Science