Variational inference, the art of approximate sampling

In the spirit of looking at fancy word topics, this post is about variational inference. Suppose you granted me one super power and I chose the ability to sample from any distribution in a fast and accurate way. Now, you might think that’s a crappy super-power, but that basically enables me to fit any model I want and provide uncertainty estimates. To make the problem concrete, lets suppose you are trying to sample from a distribution \(p(x)\). [Read More]