Extreme Value Theorem, Gumbel distribution and Gumbel Softmax

[vinsis]

• Some key ideas and history behind the EVT, especially focused on Gumbel
• Application of Gumbel softmax to backpropagate through discrete categorical sampling
• Extension of ideas behind Gumbel softmax to make sampling from a Poisson distrubution differentiable

[mukappalambda]

• The Fisher–Tippett–Gnedenko theorem
• Jang, E., Gu, S., & Poole, B. (2016). Categorical reparameterization with gumbel-softmax. arXiv preprint arXiv:1611.01144.