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VI-ELBO-MC-approx.html
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<meta property="og:description" content="Unbiased property of the ELBO¶In order to be able to perform stochastic optimisation of the Monte Carlo approximation of the ELBO, we need to have the property that the approximation is unbiased. This is a short post reviewing that idea, and showing that this is indeed the case. Deriving the bias of an estimator¶" />
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<h1><a href="https://chrisorm.github.io/VI-ELBO-MC-approx.html"> Variational Inference - Monte Carlo Approximation of the ELBO is unbiased. </a></h1>
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color: #00f;
}
.cm-s-ipython span.cm-variable {
color: #000;
}
.cm-s-ipython span.cm-operator {
color: #AA22FF;
font-weight: bold;
}
.cm-s-ipython span.cm-variable-2 {
color: #1a1a1a;
}
.cm-s-ipython span.cm-variable-3 {
color: #333333;
}
.cm-s-ipython span.cm-comment {
color: #408080;
font-style: italic;
}
.cm-s-ipython span.cm-string {
color: #BA2121;
}
.cm-s-ipython span.cm-string-2 {
color: #f50;
}
.cm-s-ipython span.cm-meta {
color: #AA22FF;
}
.cm-s-ipython span.cm-qualifier {
color: #555;
}
.cm-s-ipython span.cm-builtin {
color: #008000;
}
.cm-s-ipython span.cm-bracket {
color: #997;
}
.cm-s-ipython span.cm-tag {
color: #170;
}
.cm-s-ipython span.cm-attribute {
color: #00c;
}
.cm-s-ipython span.cm-header {
color: blue;
}
.cm-s-ipython span.cm-quote {
color: #090;
}
.cm-s-ipython span.cm-link {
color: #00c;
}
.cm-s-ipython span.cm-error {
color: #f00;
}
.cm-s-ipython span.cm-tab {
background: url(data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAADAAAAAMCAYAAAAkuj5RAAAAAXNSR0IArs4c6QAAAGFJREFUSMft1LsRQFAQheHPowAKoACx3IgEKtaEHujDjORSgWTH/ZOdnZOcM/sgk/kFFWY0qV8foQwS4MKBCS3qR6ixBJvElOobYAtivseIE120FaowJPN75GMu8j/LfMwNjh4HUpwg4LUAAAAASUVORK5CYII=);
background-position: right;
background-repeat: no-repeat;
}
div.output_wrapper {
/* this position must be relative to enable descendents to be absolute within it */
position: relative;
/* Old browsers */
display: -webkit-box;
-webkit-box-orient: vertical;
-webkit-box-align: stretch;
display: -moz-box;
-moz-box-orient: vertical;
-moz-box-align: stretch;
display: box;
box-orient: vertical;
box-align: stretch;
/* Modern browsers */
display: flex;
flex-direction: column;
align-items: stretch;
z-index: 1;
}
/* class for the output area when it should be height-limited */
div.output_scroll {
/* ideally, this would be max-height, but FF barfs all over that */
height: 24em;
/* FF needs this *and the wrapper* to specify full width, or it will shrinkwrap */
width: 100%;
overflow: auto;
border-radius: 2px;
-webkit-box-shadow: inset 0 2px 8px rgba(0, 0, 0, 0.8);
box-shadow: inset 0 2px 8px rgba(0, 0, 0, 0.8);
display: block;
}
/* output div while it is collapsed */
div.output_collapsed {
margin: 0px;
padding: 0px;
/* Old browsers */
display: -webkit-box;
-webkit-box-orient: vertical;
-webkit-box-align: stretch;
display: -moz-box;
-moz-box-orient: vertical;
-moz-box-align: stretch;
display: box;
box-orient: vertical;
box-align: stretch;
/* Modern browsers */
display: flex;
flex-direction: column;
align-items: stretch;
}
div.out_prompt_overlay {
height: 100%;
padding: 0px 0.4em;
position: absolute;
border-radius: 2px;
}
div.out_prompt_overlay:hover {
/* use inner shadow to get border that is computed the same on WebKit/FF */
-webkit-box-shadow: inset 0 0 1px #000;
box-shadow: inset 0 0 1px #000;
background: rgba(240, 240, 240, 0.5);
}
div.output_prompt {
color: #D84315;
}
/* This class is the outer container of all output sections. */
div.output_area {
padding: 0px;
page-break-inside: avoid;
/* Old browsers */
display: -webkit-box;
-webkit-box-orient: horizontal;
-webkit-box-align: stretch;
display: -moz-box;
-moz-box-orient: horizontal;
-moz-box-align: stretch;
display: box;
box-orient: horizontal;
box-align: stretch;
/* Modern browsers */
display: flex;
flex-direction: row;
align-items: stretch;
}
div.output_area .MathJax_Display {
text-align: left !important;
}
div.output_area
div.output_area
div.output_area img,
div.output_area svg {
max-width: 100%;
height: auto;
}
div.output_area img.unconfined,
div.output_area svg.unconfined {
max-width: none;
}
/* This is needed to protect the pre formating from global settings such
as that of bootstrap */
.output {
/* Old browsers */
display: -webkit-box;
-webkit-box-orient: vertical;
-webkit-box-align: stretch;
display: -moz-box;
-moz-box-orient: vertical;
-moz-box-align: stretch;
display: box;
box-orient: vertical;
box-align: stretch;
/* Modern browsers */
display: flex;
flex-direction: column;
align-items: stretch;
}
@media (max-width: 540px) {
div.output_area {
/* Old browsers */
display: -webkit-box;
-webkit-box-orient: vertical;
-webkit-box-align: stretch;
display: -moz-box;
-moz-box-orient: vertical;
-moz-box-align: stretch;
display: box;
box-orient: vertical;
box-align: stretch;
/* Modern browsers */
display: flex;
flex-direction: column;
align-items: stretch;
}
}
div.output_area pre {
margin: 0;
padding: 0;
border: 0;
vertical-align: baseline;
color: black;
background-color: transparent;
border-radius: 0;
}
/* This class is for the output subarea inside the output_area and after
the prompt div. */
div.output_subarea {
overflow-x: auto;
padding: 0.4em;
/* Old browsers */
-webkit-box-flex: 1;
-moz-box-flex: 1;
box-flex: 1;
/* Modern browsers */
flex: 1;
max-width: calc(100% - 14ex);
}
div.output_scroll div.output_subarea {
overflow-x: visible;
}
/* The rest of the output_* classes are for special styling of the different
output types */
/* all text output has this class: */
div.output_text {
text-align: left;
color: #000;
/* This has to match that of the the CodeMirror class line-height below */
line-height: 1.21429em;
}
/* stdout/stderr are 'text' as well as 'stream', but execute_result/error are *not* streams */
div.output_stderr {
background: #fdd;
/* very light red background for stderr */
}
div.output_latex {
text-align: left;
}
/* Empty output_javascript divs should have no height */
div.output_javascript:empty {
padding: 0;
}
.js-error {
color: darkred;
}
/* raw_input styles */
div.raw_input_container {
line-height: 1.21429em;
padding-top: 5px;
}
pre.raw_input_prompt {
/* nothing needed here. */
}
input.raw_input {
font-family: monospace;
font-size: inherit;
color: inherit;
width: auto;
/* make sure input baseline aligns with prompt */
vertical-align: baseline;
/* padding + margin = 0.5em between prompt and cursor */
padding: 0em 0.25em;
margin: 0em 0.25em;
}
input.raw_input:focus {
box-shadow: none;
}
p.p-space {
margin-bottom: 10px;
}
div.output_unrecognized {
padding: 5px;
font-weight: bold;
color: red;
}
div.output_unrecognized a {
color: inherit;
text-decoration: none;
}
div.output_unrecognized a:hover {
color: inherit;
text-decoration: none;
}
.rendered_html {
color: #000;
/* any extras will just be numbers: */
}
.rendered_html :link {
text-decoration: underline;
}
.rendered_html :visited {
text-decoration: underline;
}
.rendered_html h1:first-child {
margin-top: 0.538em;
}
.rendered_html h2:first-child {
margin-top: 0.636em;
}
.rendered_html h3:first-child {
margin-top: 0.777em;
}
.rendered_html h4:first-child {
margin-top: 1em;
}
.rendered_html h5:first-child {
margin-top: 1em;
}
.rendered_html h6:first-child {
margin-top: 1em;
}
.rendered_html * + ul {
margin-top: 1em;
}
.rendered_html * + ol {
margin-top: 1em;
}
.rendered_html pre,
.rendered_html tr,
.rendered_html th,
.rendered_html td,
.rendered_html * + table {
margin-top: 1em;
}
.rendered_html * + p {
margin-top: 1em;
}
.rendered_html * + img {
margin-top: 1em;
}
.rendered_html img,
.rendered_html img.unconfined,
div.text_cell {
/* Old browsers */
display: -webkit-box;
-webkit-box-orient: horizontal;
-webkit-box-align: stretch;
display: -moz-box;
-moz-box-orient: horizontal;
-moz-box-align: stretch;
display: box;
box-orient: horizontal;
box-align: stretch;
/* Modern browsers */
display: flex;
flex-direction: row;
align-items: stretch;
}
@media (max-width: 540px) {
div.text_cell > div.prompt {
display: none;
}
}
div.text_cell_render {
/*font-family: "Helvetica Neue", Arial, Helvetica, Geneva, sans-serif;*/
outline: none;
resize: none;
width: inherit;
border-style: none;
padding: 0.5em 0.5em 0.5em 0.4em;
color: #000;
box-sizing: border-box;
-moz-box-sizing: border-box;
-webkit-box-sizing: border-box;
}
a.anchor-link:link {
text-decoration: none;
padding: 0px 20px;
visibility: hidden;
}
h1:hover .anchor-link,
h2:hover .anchor-link,
h3:hover .anchor-link,
h4:hover .anchor-link,
h5:hover .anchor-link,
h6:hover .anchor-link {
visibility: visible;
}
.text_cell.rendered .input_area {
display: none;
}
.text_cell.rendered
.text_cell.unrendered .text_cell_render {
display: none;
}
.cm-header-1,
.cm-header-2,
.cm-header-3,
.cm-header-4,
.cm-header-5,
.cm-header-6 {
font-weight: bold;
font-family: "Helvetica Neue", Helvetica, Arial, sans-serif;
}
.cm-header-1 {
font-size: 185.7%;
}
.cm-header-2 {
font-size: 157.1%;
}
.cm-header-3 {
font-size: 128.6%;
}
.cm-header-4 {
font-size: 110%;
}
.cm-header-5 {
font-size: 100%;
font-style: italic;
}
.cm-header-6 {
font-size: 100%;
font-style: italic;
}
</style>
<style type="text/css">.highlight .hll { background-color: #ffffcc }
.highlight { background: #f8f8f8; }
.highlight .c { color: #408080; font-style: italic } /* Comment */
.highlight .err { border: 1px solid #FF0000 } /* Error */
.highlight .k { color: #008000; font-weight: bold } /* Keyword */
.highlight .o { color: #666666 } /* Operator */
.highlight .ch { color: #408080; font-style: italic } /* Comment.Hashbang */
.highlight .cm { color: #408080; font-style: italic } /* Comment.Multiline */
.highlight .cp { color: #BC7A00 } /* Comment.Preproc */
.highlight .cpf { color: #408080; font-style: italic } /* Comment.PreprocFile */
.highlight .c1 { color: #408080; font-style: italic } /* Comment.Single */
.highlight .cs { color: #408080; font-style: italic } /* Comment.Special */
.highlight .gd { color: #A00000 } /* Generic.Deleted */
.highlight .ge { font-style: italic } /* Generic.Emph */
.highlight .gr { color: #FF0000 } /* Generic.Error */
.highlight .gh { color: #000080; font-weight: bold } /* Generic.Heading */
.highlight .gi { color: #00A000 } /* Generic.Inserted */
.highlight .go { color: #888888 } /* Generic.Output */
.highlight .gp { color: #000080; font-weight: bold } /* Generic.Prompt */
.highlight .gs { font-weight: bold } /* Generic.Strong */
.highlight .gu { color: #800080; font-weight: bold } /* Generic.Subheading */
.highlight .gt { color: #0044DD } /* Generic.Traceback */
.highlight .kc { color: #008000; font-weight: bold } /* Keyword.Constant */
.highlight .kd { color: #008000; font-weight: bold } /* Keyword.Declaration */
.highlight .kn { color: #008000; font-weight: bold } /* Keyword.Namespace */
.highlight .kp { color: #008000 } /* Keyword.Pseudo */
.highlight .kr { color: #008000; font-weight: bold } /* Keyword.Reserved */
.highlight .kt { color: #B00040 } /* Keyword.Type */
.highlight .m { color: #666666 } /* Literal.Number */
.highlight .s { color: #BA2121 } /* Literal.String */
.highlight .na { color: #7D9029 } /* Name.Attribute */
.highlight .nb { color: #008000 } /* Name.Builtin */
.highlight .nc { color: #0000FF; font-weight: bold } /* Name.Class */
.highlight .no { color: #880000 } /* Name.Constant */
.highlight .nd { color: #AA22FF } /* Name.Decorator */
.highlight .ni { color: #999999; font-weight: bold } /* Name.Entity */
.highlight .ne { color: #D2413A; font-weight: bold } /* Name.Exception */
.highlight .nf { color: #0000FF } /* Name.Function */
.highlight .nl { color: #A0A000 } /* Name.Label */
.highlight .nn { color: #0000FF; font-weight: bold } /* Name.Namespace */
.highlight .nt { color: #008000; font-weight: bold } /* Name.Tag */
.highlight .nv { color: #19177C } /* Name.Variable */
.highlight .ow { color: #AA22FF; font-weight: bold } /* Operator.Word */
.highlight .w { color: #bbbbbb } /* Text.Whitespace */
.highlight .mb { color: #666666 } /* Literal.Number.Bin */
.highlight .mf { color: #666666 } /* Literal.Number.Float */
.highlight .mh { color: #666666 } /* Literal.Number.Hex */
.highlight .mi { color: #666666 } /* Literal.Number.Integer */
.highlight .mo { color: #666666 } /* Literal.Number.Oct */
.highlight .sb { color: #BA2121 } /* Literal.String.Backtick */
.highlight .sc { color: #BA2121 } /* Literal.String.Char */
.highlight .sd { color: #BA2121; font-style: italic } /* Literal.String.Doc */
.highlight .s2 { color: #BA2121 } /* Literal.String.Double */
.highlight .se { color: #BB6622; font-weight: bold } /* Literal.String.Escape */
.highlight .sh { color: #BA2121 } /* Literal.String.Heredoc */
.highlight .si { color: #BB6688; font-weight: bold } /* Literal.String.Interpol */
.highlight .sx { color: #008000 } /* Literal.String.Other */
.highlight .sr { color: #BB6688 } /* Literal.String.Regex */