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Learn white_vec parameter of AutoGaussian guide #2946
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@eb8680 this isn't super high priority, but it would be nice to get it in for the first release of |
eb8680
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Dec 14, 2021
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Looks good, merging
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Addresses #2813
Blocked by pyro-ppl/funsor#553This adds learnable parameters
white_vec
to each Gaussian factor in the AutoGaussian guide, so the total set of factors is:loc
,scale
,white_vec
, andprec_sqrt
. The parameters(white_vec, prec_sqrt)
are important because they are closer to the natural parameters than(loc, scale)
, and should in theory lead to faster learning. Thescale
parameter is important because (i) being on a log scale it can quickly adapt to large or small magnitudes, and (ii) it performs row-size scaling of the precision matrix and leads to faster learning (see #2127, #2924). It appears that theloc
parameter is also required.Tested