# Evaluate Variational Inference

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A brief summary of the post, Eid ma clack shaw zupoven del ba.

In variational inference, we try to find the member $q*(\theta)$ of some tractable set of distributions $\cQ$ (commonly the family of multivariate Gaussian distributions with diagonal covariance matrices) that minimizes the Kullback-Leibler divergence,

Automatic Differentiation Variation Inference (ADVI) can find $q^*(\theta)$ by a fairly sophisticated stochastic optimization method.

But how can we check if the approximate posterior $q^*(\theta)$ is a good approximation to the true posterior $p(\theta\mid y)$. The post introduced two ideas.

## Based on PSIS

If $q(\theta)$ is a good approximation to the true posterior, it can be used as an importance proposal to compute expectations w.r.t. $p(\theta\mid y)$.

The intuition of **Pareto-Smoothed Importance Sampling (PSIS)** is that replacing the “noisy” sample importance weights with the model-based estimates (generalized Pareto), which can reduces the variance of the resulting self-normalized importance sampling estimator and reduces the bias compared to other options.

## Based on VSBC

Actually, variational inference is often quite bad at estimating a posterior. On the other hand, the centre of the variational posterior is much more frequently a good approximation to the centre of the true posterior.

**Variational Simulation-Based Calibration** (VSBC) assessed the average performance of the implied variational approximation to univariate posterior marginals, and it can indicate if the centre of the variational posterior will be, on average, biased.