I tried training a linear regression model using both ADVI and MCMC. ADVI is expected to have less accuracy than MCMC when both models are converged. However, I found that ADVI has unacceptable accuracy compare to the MCMC sampling. The script that was used for evaluation : import time import num…

Poor Accuracy of ADVI for Linear Regression

Nadheesh April 17, 2018, 4:16am 8

Then how can we access (using a script) the time taken for training for both MCMC and ADVI without other overheads?

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