rareflow (version 0.1.0)

ELBOflow: Evidence Lower Bound (ELBO) for Flow-Based Variational Inference

Description

Computes the ELBO:

Usage

ELBOflow(flow, Qobs, pxgivenz, nmc = 256)

Value

A numeric ELBO value.

Arguments

flow

A flow model created by makeflow().

Qobs

Observed empirical distribution (probability vector).

pxgivenz

A function mapping a latent vector z to a categorical pmf.

nmc

Number of Monte Carlo samples.

Details

\(\log p(x \| z) + \log p(z) - \log q(z)\)

where:

• q(z) is the flow-based variational posterior

• p(z) is a standard Gaussian prior

• p(x | z) is provided by the user as pxgivenz

The expectation is approximated via Monte Carlo sampling.

Examples

f <- makeflow("planar", list(u = 0.1, w = 0.2, b = 0))
px <- function(z) c(0.3, 0.4, 0.3)
ELBOflow(f, Qobs = c(0.2, 0.5, 0.3), pxgivenz = px, nmc = 100)