Can ELBO result from varitional inference used for model comparison?

Modeling
, ,
1

Dear Bayesian statistics experts,

ELBO/Negative free energy can be regarded as the lower bound of marginal likelihood. I wonder is there any way to get the ELBO result from RStan or cmdstanr and then use them for model comparison? Thanks.

2

@avehtari @yuling

3

Both of them should return draws from the variational approximation and the log of unnormalized posterior density __log_p and log of unnormalized variational approximation density __log_q. These are sufficient to compute ELBO. However, the current ADVI algorithm in Stan is not very good, so using that for inference or model comparison can be unreliable.

2 Likes
4

Thanks for your explanation!

1 Like