Multilevel Monte Carlo estimation of log marginal likelihood
Machine Learning
2019-12-24 v1 Machine Learning
Abstract
In this short note we provide an unbiased multilevel Monte Carlo estimator of the log marginal likelihood and discuss its application to variational Bayes.
Cite
@article{arxiv.1912.10636,
title = {Multilevel Monte Carlo estimation of log marginal likelihood},
author = {Takashi Goda and Kei Ishikawa},
journal= {arXiv preprint arXiv:1912.10636},
year = {2019}
}
Comments
4 pages, no figure, technical report