Log loss vs ELBO optimisation

[skezle]

In your UCI experiments, you set your objective function to a log loss (and likewise the BO objective). Surely one wants to perform VI with VADAM and should optimize an ELBO?

[emtiyaz]

I am not sure what the confusion is here, but if you read the paper, the whole point is to be able to write the gradients with respect to the loss of the neural networks. This way we don't have to change the computation graph. The algorithm still is able to perform VI which is the main contribution of the paper. I hope this makes sense.