Automatic Differentiation Variational Inference

Automatic Differentiation Variational Inference (ADVI) is a black-box algorithm for approximate Bayesian posterior inference, introduced by Kucukelbir, Tran, Ranganath, Gelman, and Blei (2017, JMLR). Given any probabilistic model whose log-joint density is differentiable, ADVI automatically transforms constrained latent variables to unconstrained real space, fits a Gaussian variational family by maximising the evidence lower bound (ELBO) with stochastic gradient ascent, and returns an approximate posterior without model-specific derivations. It is the default variational inference engine in Stan and is available in PyMC and NumPyro.