Bayesian inference typically requires the computation of an approximation to
the posterior distribution. An important requirement for an approximate
Bayesian inference algorithm is to output high-accuracy posterior mean and
uncertainty estimates. Classical Monte Carlo methods, particularly Markov Chain
Monte Carlo, remain the gold standard for approximate Bayesian inference
because they have a robust finite-sample theory and reliable convergence
diagnostics. However, alternative methods, which are more scalable or apply to
problems where Markov Chain Monte Carlo cannot be used, lack the same
finite-data approximation theory and tools for evaluating their accuracy. In
this work, we develop a flexible new approach to bounding the error of mean and
uncertainty estimates of scalable inference algorithms. Our strategy is to
control the estimation errors in terms of Wasserstein distance, then bound the
Wasserstein distance via a generalized notion of Fisher distance. Unlike
computing the Wasserstein distance, which requires access to the normalized
posterior distribution, the Fisher distance is tractable to compute because it
requires access only to the gradient of the log posterior density. We
demonstrate the usefulness of our Fisher distance approach by deriving bounds
on the Wasserstein error of the Laplace approximation and Hilbert coresets. We
anticipate that our approach will be applicable to many other approximate
inference methods such as the integrated Laplace approximation, variational
inference, and approximate Bayesian computationComment: 22 pages, 2 figure