Justification of the fixed variational distribution in diffusion models Diffusion models can be regarded as latent variable models (Ho et al., 2020; Section 2), with the latents being an hierarchical chain of random variables $z_T → \dots → z_t → z_{t-1} → \dots → z_1$ (finally, from $z_1$ we sample the observation $x$). Under this view the diffusion process (the noise-adding steps, $\dots ← z_t ← z_{t-1} ← \cdots$) defines an approximate posterior distribution $q(z_{1:T}|x)$. However, this distribution is fixed (in contrast to typical latent variable models, such as variational autoencoders, which attempt to learn the approximate posterior). So I was wondering why does this approach work?
In my mind, a learnable and flexible variational distribution is essential in ensuring that the evidence lower bound (ELBO) is a tight lower-bound of the marginal log-likelihood $\log p(x)$ (for example in the EM algorithm, the E step closes the gap by setting $q(z|x)$ to $p(z|x)$). Otherwise, if the ELBO is loose do we have any guarantee that we maximize the true marginal log-likelihood $\log p(x)$?
 A: 
Under this view the diffusion process (the noise-adding steps, $z_T\dots ←z_t←z_{t−1}←\dots z_1$) defines an approximate posterior distribution $q(z_{1:T}|x)$

This is the forward trajectory, but the generative process we are interested in is in the reverse trajectory $q(z_{t-1}|z_t)$ (the denoising trajectory), since we want to provide the model a random noise and the model will generate an image.
Since the true denoising distribution $q(z_{t-1}|z_t)$ is intractable, we want to learn the parameterization for $p_\theta(z_{t-1}|z_t)$, assuming it Gaussian for a small $\beta$.
$$p(z_{t-1}|z_t) = \mathcal{N}(z_{t-1};\mu_\theta(z_t),\Sigma_\theta(z_t))$$

It is shown empirically in Ho et al., 2020 that setting $\Sigma_\theta(z_t) = \sigma^2\mathbb{I} = \beta_t \mathbb{I}$ works well, so we can train a neural network to predict just the mean.
To do so we want to minimize the log-likelihood
$$\mathbb{E}[-\log p_\theta(x_0)]$$
But since we cannot access $p_\theta(x_0)$ as we do for VAEs, we can obtain a simpler objective using the Jensen Inequality, finding an ELBO that is dependent on $q(z_{t-1}|z_t)$.
$$
\begin{split} \mathbb{E}[-\log p_\theta(x_0)] \leq {} \mathbb{E}_q & \bigl[ D_{KL}(q(z_T|z_0) || p(z_T)) \\ & +  \sum_{t\geq 1} D_{KL}(q(z_{t-1}|z_t, x) || p_\theta(z_{t-1}|z_t)) \\ & - \log p_\theta(x | z_1)  \bigr]
\end{split}
$$
Where KL is the Kullback-Leibler Divergence between the two distributions.
Notice that the reverse process becomes tractable when also conditioned on the real image $x$, which does not allow sampling starting from noise (our final objective)
Since we are minimizing this ELBO, by optimizing the parameters $\theta$ we are actually closing the gap between the two distributions $q(z_{t-1}|z_t)$ and our approximation with a NN $p_\theta(z_{t-1}|z_t)$.

*

*The first term does not depend on $\theta$ and can be ignored for optimization (We could learn $\beta_t$ though)

*The central term is the most important, where we actually close the gap

*The last term could improve the last diffusion step

All of this and the following computations are explained well in this blog, and further mathematical explanation is also available here.
