Ryan J Giordano

Linear Response Methods for Accurate Covariance Estimates from Mean Field Variational Bayes

Mean field variational Bayes (MFVB) is a popular posterior approximation method due to its fast runtime on large-scale data sets. However, a well known failing of MFVB is that it underestimates the uncertainty of model variables (sometimes severely) and provides no information about model variable c…