Differentiable Antithetic Sampling for Variance Reduction in Stochastic Variational Inference
Proceedings of the Twenty-Second International Conference on Artificial Intelligence and Statistics, PMLR 89:2877-2886, 2019.
Stochastic optimization techniques are standard in variational inference algorithms. These methods estimate gradients by approximating expectations with independent Monte Carlo samples. In this paper, we explore a technique that uses correlated, but more representative, samples to reduce estimator variance. Specifically, we show how to generate antithetic samples that match sample moments with the true moments of an underlying importance distribution. Combining a differentiable antithetic sampler with modern stochastic variational inference, we showcase the effectiveness of this approach for learning a deep generative model. An implementation is available at https://github.com/mhw32/antithetic-vae-public.