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Explaining variational approximations. (English) Zbl 1200.65007

Summary: Variational approximations facilitate approximate inference for the parameters in complex statistical models and provide fast, deterministic alternatives to Monte Carlo methods. However, much of the contemporary literature on variational approximations is in Computer Science rather than Statistics, and uses terminology, notation, and examples from the former field. In this article we explain variational approximation in statistical terms. In particular, we illustrate the ideas of variational approximation using examples that are familiar to statisticians.

MSC:

65C60 Computational problems in statistics (MSC2010)
62F15 Bayesian inference
65C05 Monte Carlo methods
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