Price's gradient estimator enables black-box VI to achieve the same state-of-the-art iteration complexity as Wasserstein VI, with experiments confirming it as the main performance driver.
(page 5) Geffner, T
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Stochastic Gradient Variational Inference with Price's Gradient Estimator from Bures-Wasserstein to Parameter Space
Price's gradient estimator enables black-box VI to achieve the same state-of-the-art iteration complexity as Wasserstein VI, with experiments confirming it as the main performance driver.