Approximate Inference with the Variational Holder Bound
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We introduce the Variational Holder (VH) bound as an alternative to Variational Bayes (VB) for approximate Bayesian inference. Unlike VB which typically involves maximization of a non-convex lower bound with respect to the variational parameters, the VH bound involves minimization of a convex upper bound to the intractable integral with respect to the variational parameters. Minimization of the VH bound is a convex optimization problem; hence the VH method can be applied using off-the-shelf convex optimization algorithms and the approximation error of the VH bound can also be analyzed using tools from convex optimization literature. We present experiments on the task of integrating a truncated multivariate Gaussian distribution and compare our method to VB, EP and a state-of-the-art numerical integration method for this problem.
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