Markovian Score Climbing: Variational Inference with KL(p||q)

This Git-repository includes source code to run experiments for

Markovian Score Climbing: Variational Inference with KL(p||q)
Christian A. Naesseth, Fredrik Lindsten, and David Blei
Advances in Neural Information Processing Systems 2020

The implementation uses Autograd https://github.com/HIPS/autograd. Each method can be run by downloading the relevant dataset and executing the corresponding Python script.

Skew Normal

Toy model with no data.

Bayesian Logistic Regression

There are three different datasets considered, Cleveland Heart Disease (https://archive.ics.uci.edu/ml/datasets/heart+disease), Ionosphere (https://archive.ics.uci.edu/ml/datasets/ionosphere), and Pima Indians Diabetes.

Stochastic Volatility

Monthly returns over 10 years (9/2007 to 8/2017) for the exchange rate of 18 currencies with respect to the US dollar (https://www.federalreserve.gov/releases/h10/).