Poor Accuracy of ADVI for Linear Regression

[junpenglao]

@Nadheesh

I assumed that 2s next to progress bar is the actual time taken for stochastic optimization, whereas the wall time measured by me is the time taken to perform automatic differentiation + stochastic optimization + other overheads

Yes thats correct. theano need to compile the model, compile the approximation, and perform the optimization. The progress bar only shows the last.