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

junpenglao April 17, 2018, 4:44am 9

If you call approx = pm.ADVI() first, then do approx.fit(n=10000), it should separate the set up with the actual optimization.

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