This repo contains scripts to reproduce the figures for the paper "The Shrinkage-Delinkage Trade-off: An Analysis of Factorized Gaussian Approximations for Variational Inference":
- Numerical experiments on Gaussian targets (Figures 1, 2, and 3) can be reproduced using
example_bounds_v3.r - Numerical experiments on non-Gaussian targets (Figures 4 and 5) can be reproduced using
model_bounds.R. The MCMC benchmark and ADVI runs are obtained using Stan (https://mc-stan). - The script
tools.rcontains functions to compute the upper-bounds derived in the paper (including the bounds in the appendix).
The scripts use standard R packages which can be downloaded from Cran. In addition, we use the packages cmdstanr (https://mc-stan.org/cmdstanr/) and bridgestan (https://github.com/roualdes/bridgestan). Using bridgestan in R sometimes causes memory issues -- the issue has been reported and the developers are working on a fix.