Frequently Asked Questions

Questions
6
  • NaN occurred in optimization at the first iteration in VI (i.e., seeing something like 0%| | 0/5000 [00:00<?, ?it/s])

Check the initial approximation parameters: approx.approx.params[0].eval(). If it returns nan, that is what causing the error.

Setting the value manually to zero could solve this. Below is an example if you are doing ADVI:

mu_approx = approx.approx.params[0]
rho_approx = approx.approx.params[1]

mu_approx.set_value(np.zeros(mu_approx.eval().shape))
rho_approx.set_value(np.zeros(rho_approx.eval().shape))