In order to make the approximation of the posterior pdf computationally tractable, we shall choose the ensemble Q to be a Gaussian pdf with diagonal covariance. The ensemble has twice as many parameters as there are unknown variables in the model because each dimension of the posterior pdf is parametrised by a mean and variance in the ensemble. A hat over a symbol denotes the mean and a tilde the variance of the corresponding variable.

The factorised ensemble makes the computation of the Kullback-Leibler information simple since the logarithm can be split into a sum of terms: the terms (entropies of Gaussian distributions) and terms , whereTo see how to compute the terms , let .

(1) |

The most difficult terms are the expectations of . Approximation for the expectation of this form is given in appendix A.

The normalising term in the posterior pdf only depends on those variables which are given, in this case , and can therefore be neglected when minimising the Kullback-Leibler information .