We propose Diffusion Model Variational Inference (DMVI), a novel method for automated approximate inference in probabilistic programming languages (PPLs). DMVI utilizes diffusion models as variational approximations to the true posterior distribution by deriving a novel bound to the marginal likelihood objective used in Bayesian modelling. DMVI is easy to implement, allows hassle-free inference in PPLs without the drawbacks of, e.g., variational inference using normalizing flows, and does not make any constraints on the underlying neural network model. We evaluate DMVI on a set of common Bayesian models and show that its posterior inferences are in general more accurate than those of contemporary methods used in PPLs while having a similar computational cost and requiring less manual tuning.

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