Hands-On Machine Learning for Algorithmic Trading

Automatic Differentiation Variational Inference

The downside of Variational Inference is the need for model-specific derivations and the implementation of a tailored optimization routine that has slowed down widespread adoption.

The recent Automatic Differentiation Variational Inference (ADVI) algorithm automates this process so that the user only specifies the model, expressed as a program, and ADVI automatically generates a corresponding variational algorithm (see references on GitHub for implementation details).

We will see that PyMC3 supports various VI techniques, including ADVI.