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The purpose of this package is to provide a simple and flexible interface for variational inference (VI) and normalizing flows (NF) for Bayesian computation or generative modeling.
where $\theta = (\theta_1, \dots, \theta_N)$ is the parameter to be learned, and $q_{\theta}$ is the variational distribution (flow distribution). This describes **sampling procedure** of normalizing flows, which requires sending draws through a forward pass of these flow layers.
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Since all the transformations are invertible (techinically[diffeomorphic](https://en.wikipedia.org/wiki/Diffeomorphism)), we can evaluate the density of a normalizing flow distribution $q_{\theta}$ by the change of variable formula:
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Since all the transformations are invertible (technically[diffeomorphic](https://en.wikipedia.org/wiki/Diffeomorphism)), we can evaluate the density of a normalizing flow distribution $q_{\theta}$ by the change of variable formula:
Both problems can be solved via standard stochastic optimization algorithms,
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Reverse KL minimization is typically used for **Bayesian computation**, where one
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wants to approximate a posterior distribution $p$ that is only known up to a
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normalizing constant.
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In contrast, forward KL minimization is typically used for **generative modeling**, where one wants to approximate a complex distribution $p$ that is known up to a normalizing constant.
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In contrast, forward KL minimization is typically used for **generative modeling**,
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where one wants to learn the underlying distribution of some data.
-[Bijectors.jl](https://github.com/TuringLang/Bijectors.jl): a package for defining bijective transformations, which can be used for defining customized flow layers.
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