Bayesian structure learning allows inferring Bayesian network structure from data while reasoning about the epistemic uncertainty -- a key element towards enabling active causal discovery and designing interventions in real world systems. In this work, we propose a general, fully differentiable framework for Bayesian structure learning (DiBS) that operates in the continuous space of a latent probabilistic graph representation. Contrary to existing work, DiBS is agnostic to the form of the local conditional distributions and allows for joint posterior inference of both the graph structure and the conditional distribution parameters. This makes DiBS directly applicable to posterior inference of nonstandard Bayesian network models, e.g., with nonlinear dependencies encoded by neural networks. Building on recent advances in variational inference, we use DiBS to devise an efficient general purpose method for approximating posteriors over structural models. In evaluations on simulated and real-world data, our method significantly outperforms related approaches to joint posterior inference.
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