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Creators/Authors contains: "Domke, Justin"

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  1. We propose the use of U-statistics to reduce variance for gradient estimation in importance-weighted variational inference. The key observation is that, given a base gradient estimator that requires m > 1 samples and a total of n > m samples to be used for estimation, lower variance is achieved by averaging the base estimator on overlapping batches of size m than disjoint batches, as currently done. We use classical U-statistic theory to analyze the variance reduction, and propose novel approximations with theoretical guarantees to ensure computational efficiency. We find empirically that U-statistic variance reduction can lead to modest to significant improvements in inference performance on a range of models, with little computational cost. 
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