Queries on Posterior Sampling

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Andy Lau

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Dec 24, 2021, 9:55:02 AM12/24/21
to TensorFlow Probability
Hi , I am a beginning learner of the tensorflow probability. After reading the section about Epistemic Uncertainty on probabilistic regression, I have a query on the posterior sampling. In a variety of articles,  Bayesian inference requires to approximate the posterior distribution. Therefore, I expect the model will include the codes of sampling  algorithm. However, the posterior mean field function only defined a Sequential model and two layers.

Am I mis-understanding or missing something?

Any guidance or advice is much appreciated.

Best regards,
Andy

Pavel Sountsov

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Dec 28, 2021, 2:19:13 PM12/28/21
to Andy Lau, TensorFlow Probability
The second layer in the `posterior_mean_field` function returns the surrogate posterior distribution that is used for inference in the `DenseVariational` layer. The sampling is performed inside the `DenseVariational` layer by calling the `sample` method on that distribution.

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Andy Lau

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Dec 29, 2021, 5:59:24 AM12/29/21
to Pavel Sountsov, TensorFlow Probability
Hi Pavel,

Thank you for your reply.

It makes more sense now. However, this leads me to another fundamental question (forgive my ignorance).

How do I know the posterior distribution sampled by the DenseVariational layer is closely approximating the underlying distribution. Does TFP provide any module to visualize and evaluate the results of approximation?

FYI, I was talking about something like trace plot offered by Arviz.

Best regards,
Andy
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