Paper:
Variational Inference via χ Upper Bound Minimization
Variational inference (VI) is widely used as an efficient alternative to Markov chain Monte Carlo. It posits a family of approximating distributions q and finds the closest member to the exact posterior p. Closeness is usually measured via a divergence D(q||p) from q to p. While successful, this approach also has problems. Notably, it typically leads to underestimation of the posterior variance. In this paper we propose CHIVI, a black-box variational inference algorithm that minimizes D χ (p||q), the χ-divergence from p to q. CHIVI minimizes an upper bound of the model evidence, which we term the χ upper bound (CUBO). Minimizing the CUBO leads to improved posterior uncertainty, and it can also be used with the classical VI lower bound (ELBO) to provide a sandwich estimate of the model evidence. We study CHIVI on three models: probit regression, Gaussian process classification, and a Cox process model of basketball plays. When compared to expectation propagation and classical VI, CHIVI produces better error rates and more accurate estimates of posterior variance.

Review:
Continuing on the recent research trend of proposing alternative divergences to perform variational inference, the author proposed a new variational objective CUBO for VI. Inference is equivalent to minimizing CUBO with respect to the variational distributions. CUBO is a proxy to the Chi-divergence between true posteriors and variational distributions, and is also an upper bound of the model's log-evidence.
The author claimed that the key advantages of CHIVI over standard VI is the EP-like mass covering property of the resulted variational approximations that tend to over-estimate posterior variance instead of under-estimation as with standard VI. Compared to EP, CHIVI optimizes a global objective function that is guaranteed to converge. The author also claimed that CUBO and ELBO together form a sandwich bound of the marginal likelihood that can be used for model selection. The technical content of the paper appears to be correct albeit some small careless mistakes that I believe are typos instead of technical flaw (see #4 below).
The idea of having a sandwich bound for the log-marginal likelihood is certainly good. While the author did demonstrate that the bound does indeed contains the log-marginal likelihood as expected, it is not entirely clear that the sandwich bound will be useful for model selection. This is not demonstrated in the experiment despite being one of the selling point of the paper. It's important to back up this claim using simulated data in experiment.
Another key feature of CHIVI is the over-dispersed approximation that it produces, which the author claimed lead to better estimates of the posterior. I believe a more accurate claim would be 'lead to more conservative estimates of the posterior uncertainty', as the goodness of approximation is fundamentally limited by the richness of the variational distributions, which is orthogonal to the choice of the variational objective function. The author provided some evidence for the claim in the Bayesian probit regression, GPC and the basketball player experiments. However, while it is certainly believable that the 'goodness of posterior approximations' plays a role in the test classification error of the first two experiments, the evidence is a little weak because of the discrete nature of the models' outputs. The author can perhaps make a stronger case by demonstrating the superior posterior uncertainty approximation through Bayesian neural network regression, in which the test LL would be more sensitive to the goodness of approximation, or through active learning experiment in which good posterior uncertainty estimates is crucial. There are examples in both https://arxiv.org/pdf/1502.05336.pdf and https://arxiv.org/pdf/1602.02311.pdf.
The basketball player example provides pretty good visualisations of the posterior uncertainty, but I'm not entirely sure how to interpret the quantitative results in Table 3 confidently. (e.g., Is the difference of 0.006 between CHIVI and BBVI for 'Curry' a big difference? What is the scale of the numbers?)
One aspect that I find lacking in the paper is how computationally demanding CHIVI is compared to standard VI/BBVI? A useful result to present would be side-by-side comparisons of wall clock time required for CHIVI, BBVI and EP in the first two experiments. The variance of the stochastic gradients would certainly play a role in the speed of convergence, and as the author mentioned in the conclusion, the gradients can have high variance. I am quite curious if the reparameterization trick would actually result in lower variance in the stochastic gradients compared to score function gradient when optimizing CUBO?
One important use of the ELBO in standard VI is to learn the model's parameters/hyper-parameters by maximizing ELBO wrt the parameters. This appears to be impossible with CUBO as it's an upper bound of the log-marginal likelihood. The author used grid search to find suitable hyper-parameters for the GPC example. However, this is clearly problematic even for a moderately large number of hyper-parameters. How can this be addressed under the CUBO framework? What is the relationship between the grid search metric (I assume this is cross-validation error?) and the sandwich bound for the parameters on the grid?
While the paper is pretty readable, there is certainly room for improvements in the clarity of the paper. I find paragraphs in section 1 and 2 to be repetitive. It is clear enough from the Introduction that the key advantages of CHIVI are the zero avoiding approximations and the sandwich bound. I don't find it necessary to be stressing that much more in section 2. Other than that, many equations in the paper do not have numbers. The references to the appendices are also wrong (There is no Appendix D or F). There is an extra period in line 188.
The Related Work section is well-written. Good job!
Other concerns/problems:
1. In the paper, a general CUBO_n is proposed where n appears to be a hyper-parameter of the bound. What was the choice of n in the experiments? How was it selected? How sensitive are the results to the choice of n? What property should one expect in the resulted approximation given a specific n? Is there any general strategy that one should adopt to select the 'right' n?
2. In line 60, what exactly is an 'inclusive divergence'?
3. In line 118 and 120, the author used the word 'support' to describe the spread of the distributions. I think a more suitable word here would be 'uncertainty'.
4. The equation in line 125 appears to be wrong. Shouldn't there be a line break before the last equal sign, and shouldn't the last expression be equal to E_q[(\frac{p(z,x)}{q(z)})^2]?
5. Line 155: 'call' instead of 'c all'
6. Line 189: The proposed data sub-sampling scheme is also similar to the scheme first proposed in the Stochastic Variational Inference paper by Hoffman et. al., and should be cited? (http://jmlr.org/papers/volume14/hoffman13a/hoffman13a.pdf)
7. Line 203: Does KLVI really fail? Or does it just produce a worse approximations compared to Laplace/EP? Also , 'typically' instead of 'typical'.
8. Line 28/29: KLVI faces difficulties with light-tailed posteriors when the variational distribution has heavier tails. Does CHIVI not face the same difficulty given the same heavy-tailed variational distributions?