Related papers: Variational Tempering
Deep learning has revolutionized the last decade, being at the forefront of extraordinary advances in a wide range of tasks including computer vision, natural language processing, and reinforcement learning, to name but a few. However, it…
The steady-state Bayesian vector autoregression (BVAR) makes it possible to incorporate prior information about the long-run mean of the process. This has been shown in many studies to substantially improve forecasting performance, and the…
A new method called "variational sampling" is proposed to estimate integrals under probability distributions that can be evaluated up to a normalizing constant. The key idea is to fit the target distribution with an exponential family model…
Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…
In this article, we propose a variational inference formulation of auto-associative memories, allowing us to combine perceptual inference and memory retrieval into the same mathematical framework. In this formulation, the prior probability…
Data assimilation algorithms integrate prior information from numerical model simulations with observed data. Ensemble-based filters, regarded as state-of-the-art, are widely employed for large-scale estimation tasks in disciplines such as…
Distributed inference/estimation in Bayesian framework in the context of sensor networks has recently received much attention due to its broad applicability. The variational Bayesian (VB) algorithm is a technique for approximating…
Variational inference for latent variable models is prevalent in various machine learning problems, typically solved by maximizing the Evidence Lower Bound (ELBO) of the true data likelihood with respect to a variational distribution.…
Factors models are routinely used to analyze high-dimensional data in both single-study and multi-study settings. Bayesian inference for such models relies on Markov Chain Monte Carlo (MCMC) methods which scale poorly as the number of…
Variational inference (VI) is a specific type of approximate Bayesian inference that approximates an intractable posterior distribution with a tractable one. VI casts the inference problem as an optimization problem, more specifically, the…
Variational Bayes (VB) inference is one of the most important algorithms in machine learning and widely used in engineering and industry. However, VB is known to suffer from the problem of local optima. In this Letter, we generalize VB by…
We recapitulate the Bayesian formulation of neural network based classifiers and show that, while sampling from the posterior does indeed lead to better generalisation than is obtained by standard optimisation of the cost function, even…
Variational quantum algorithms (VQAs), as one of the most promising routes in the noisy intermediate-scale quantum (NISQ) era, offer various potential applications while also confront severe challenges due to near-term quantum hardware…
Hierarchical models with gamma hyperpriors provide a flexible, sparse-promoting framework to bridge $L^1$ and $L^2$ regularizations in Bayesian formulations to inverse problems. Despite the Bayesian motivation for these models, existing…
Recently, a number of mostly $\ell_1$-norm regularized least squares type deterministic algorithms have been proposed to address the problem of \emph{sparse} adaptive signal estimation and system identification. From a Bayesian perspective,…
Dynamic factor models are often estimated by point-estimation methods, disregarding parameter uncertainty. We propose a method accounting for parameter uncertainty by means of posterior approximation, using variational inference. Our…
The estimation of directed couplings between the nodes of a network from indirect measurements is a central methodological challenge in scientific fields such as neuroscience, systems biology and economics. Unfortunately, the problem is…
Variational inference (VI) provides fast approximations of a Bayesian posterior in part because it formulates posterior approximation as an optimization problem: to find the closest distribution to the exact posterior over some family of…
Variance reduction is a family of powerful mechanisms for stochastic optimization that appears to be helpful in many machine learning tasks. It is based on estimating the exact gradient with some recursive sequences. Previously, many papers…
Variational inference uses optimization, rather than integration, to approximate the marginal likelihood, and thereby the posterior, in a Bayesian model. Thanks to advances in computational scalability made in the last decade, variational…