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Given a probability distribution density \(p(x)\) and a latent variable \(z\), the marginalization of the joint probability is

\[ \int \mathrm dz p(x, z) = p(x). \]

Using Jensen's Inequality

In many models, we are interested in the log probability density \(\log p(X)\) which can be decomposed using an auxiliary density of the latent variable \(q(Z)\),

\[ \begin{align} \log p(x) =& \log \int \mathrm d z p(x, z) \\ =& \log \int \mathrm d z p(x, z) \frac{q(z)}{q(z)} \\ =& \log \int \mathrm d z q(x) \frac{p(x, z)}{q(z)} \\ =& \log \mathbb E_q \left[ \frac{p(x, z)}{q(z)} \right]. \end{align} \]

Jensen's Inequality

Jensen's inequality shows that1

\[ \log \mathbb E_q \left[ \frac{p(x, z)}{q(Z)} \right] \geq \mathbb E_q \left[ \log\left(\frac{p(x, z)}{q(Z)}\right) \right], \]

as \(\log\) is a concave function.

Applying Jensen's inequality,

\[ \begin{align} \log p(x) =& \log \mathbb E_q \left[ \frac{p(x, z)}{q(z)} \right] \\ \geq& \mathbb E_q \left[ \log\left(\frac{p(x, z)}{q(z)}\right) \right] \\ =& \mathbb E_q \left[ \log p(x, z)- \log q(z) \right] \\ =& \mathbb E_q \left[ \log p(x, z) \right] - \mathbb E_q \left[ \log q(z) \right] . \end{align} \]

Using the definition of entropy and cross entropy, we know that

\[ H(q(z)) = - \mathbb E_q \left[ \log q(z) \right] \]

is the entropy of \(q(z)\), and

\[ H(q(z);p(x,z)) = -\mathbb E_q \left[ \log p(x, z) \right] \]

is the cross entropy. We define

\[ L = \mathbb E_q \left[ \log p(x, z) \right] - \mathbb E_q \left[ \log q(z) \right] = - H(q(z);p(x,z)) + H(q(z)), \]

which is called the evidence lower bound (ELBO). It is a lower bound because

\[ \log p(x) \geq L. \]

Using KL Divergence

In a latent variable model, we need the posterior \(p(z|x)\). When this is intractable, we find an approximation \(q(z|\theta)\) where \(\theta\) is the parametrization, e.g., neural network parameters. To make sure we have a good approximation of the posterior, we require the KL divergence of \(q(z|\theta)\) and \(p(z|z)\) to be small. The KL divergence in this situation is2

\[ \begin{align} &\operatorname{ D}_\text{KL}(q(z|\theta)\parallel p(z|x)) \\ =& -\mathbb E_q \log\frac{p(z|x)}{q(z|\theta)} \\ =& -\mathbb E_q \log\frac{p(x, z)/p(x)}{q(z|\theta)} \\ =& -\mathbb E_q \log\frac{p(x, z)}{q(z|\theta)} - \mathbb E_q \log\frac{1}{p(x)} \\ =& - L + \log p(x). \end{align} \]

Since \(\operatorname{D}_{\text{KL}}(q(z|\theta)\parallel p(z|x))\geq 0\), we have

\[ \log p(x) \geq L, \]

which also indicates that \(L\) is the lower bound of \(\log p(x)\).

Jensen gap

The difference between \(\log p(x)\) and \(L\) is the Jensen gap, i.e.,

\[ L - \log p(x) = - \operatorname{D}_\text{KL}(q(z|\theta)\parallel p(z|x)). \]

  1. Contributors to Wikimedia projects. Jensen’s inequality. In: Wikipedia [Internet]. 27 Aug 2021 [cited 5 Sep 2021]. Available: 

  2. Yang X. Understanding the Variational Lower Bound. 14 Apr 2017 [cited 5 Sep 2021]. Available: 

Contributors: LM