The paper analyzes how factorized Gaussian approximations underestimate uncertainty in variational inference.
problem Underestimation of uncertainty in variational inference using factorized Gaussian approximations.
method Examined the trade-off between shrinkage and delinking in approximating a Gaussian with a diagonal covariance matrix.
result Entropy of the factorized Gaussian approximation underestimates both componentwise variance and entropy of the original Gaussian.