  Recent progress in variational inference has paid much attention to the
flexibility of variational posteriors. One promising direction is to use
implicit distributions, i.e., distributions without tractable densities as the
variational posterior. However, existing methods on implicit posteriors still
face challenges of noisy estimation and computational infeasibility when
applied to models with high-dimensional latent variables. In this paper, we
present a new approach named Kernel Implicit Variational Inference that
addresses these challenges. As far as we know, for the first time implicit
variational inference is successfully applied to Bayesian neural networks,
which shows promising results on both regression and classification tasks.
