Reviews: Rényi Divergence Variational Inference

This is a very good and technically sound paper, containing a significant amount of material. The theoretical investigation of the properties of alpha-divergence minimization is thorough, clear and detailed. The paper provides significant theoretical insight and understanding into alpha-divergence minimization and optimization-based approximate inference in general. My biggest concern about the alpha-divergence framework is whether its theoretical richness and elegance actually translates to practical methods. In other words, I'm not sure that the practical aspects of it are appealing enough to convince practitioners of variational inference to switch to alpha-divergence minimization instead.