  Multi-sample, importance-weighted variational autoencoders (IWAE) give
tighter bounds and more accurate uncertainty estimates than variational
autoencoders (VAE) trained with a standard single-sample objective. However,
IWAEs scale poorly: as the latent dimensionality grows, they require
exponentially many samples to retain the benefits of importance weighting.
While sequential Monte-Carlo (SMC) can address this problem, it is
prohibitively slow because the resampling step imposes sequential structure
which cannot be parallelised, and moreover, resampling is non-differentiable
which is problematic when learning approximate posteriors. To address these
issues, we developed tensor Monte-Carlo (TMC) which gives exponentially many
importance samples by separately drawing $K$ samples for each of the $n$ latent
variables, then averaging over all $K^n$ possible combinations. While the sum
over exponentially many terms might seem to be intractable, in many cases it
can be computed efficiently as a series of tensor inner-products. We show that
TMC is superior to IWAE on a generative model with multiple stochastic layers
trained on the MNIST handwritten digit database, and we show that TMC can be
combined with standard variance reduction techniques.
