Related papers: Geometric variational inference
Riemannian manifold Hamiltonian Monte Carlo (RMHMC) is a sampling algorithm that seeks to adapt proposals to the local geometry of the posterior distribution. The specific form of the Hamiltonian used in RMHMC necessitates {\it…
Spatial statistics often rely on Gaussian processes (GPs) to capture dependencies across locations. However, their computational cost increases rapidly with the number of locations, potentially needing multiple hours even for moderate…
Recent work used importance sampling ideas for better variational bounds on likelihoods. We clarify the applicability of these ideas to pure probabilistic inference, by showing the resulting Importance Weighted Variational Inference (IWVI)…
Spatial count data models are used to explain and predict the frequency of phenomena such as traffic accidents in geographically distinct entities such as census tracts or road segments. These models are typically estimated using Bayesian…
Variational inference lies at the core of many state-of-the-art algorithms. To improve the approximation of the posterior beyond parametric families, it was proposed to include MCMC steps into the variational lower bound. In this work we…
We introduce a framework for efficient Markov Chain Monte Carlo (MCMC) algorithms targeting discrete-valued high-dimensional distributions, such as posterior distributions in Bayesian variable selection (BVS) problems. We show that many…
Gaussian graphical models (GGMs) are well-established tools for probabilistic exploration of dependence structures using precision matrices. We develop a Bayesian method to incorporate covariate information in this GGMs setup in a nonlinear…
Variational inference has recently emerged as a popular alternative to the classical Markov chain Monte Carlo (MCMC) in large-scale Bayesian inference. The core idea is to trade statistical accuracy for computational efficiency. In this…
We describe a variational approximation method for efficient inference in large-scale probabilistic models. Variational methods are deterministic procedures that provide approximations to marginal and conditional probabilities of interest.…
Hidden Markov Models (HMM) have been used for several years in many time series analysis or pattern recognitions tasks. HMM are often trained by means of the Baum-Welch algorithm which can be seen as a special variant of an expectation…
This report concerns the problem of dimensionality reduction through information geometric methods on statistical manifolds. While there has been considerable work recently presented regarding dimensionality reduction for the purposes of…
Many scientific and engineering problems require to perform Bayesian inferences in function spaces, in which the unknowns are of infinite dimension. In such problems, many standard Markov Chain Monte Carlo (MCMC) algorithms become arbitrary…
We consider the estimation of the transition matrix of a hidden Markovian process by using information geometry with respect to transition matrices. In this paper, only the histogram of $k$-memory data is used for the estimation. To…
Semi-implicit variational inference (SIVI) is introduced to expand the commonly used analytic variational distribution family, by mixing the variational parameter with a flexible distribution. This mixing distribution can assume any density…
In machine learning and statistics, probabilistic inference involving multimodal distributions is quite difficult. This is especially true in high dimensional problems, where most existing algorithms cannot easily move from one mode to…
Variational inference with Gaussian mixture models (GMMs) enables learning of highly tractable yet multi-modal approximations of intractable target distributions with up to a few hundred dimensions. The two currently most effective methods…
Gaussian graphical models can capture complex dependency structures among variables. For such models, Bayesian inference is attractive as it provides principled ways to incorporate prior information and to quantify uncertainty through the…
We propose new Markov Chain Monte Carlo algorithms to sample probability distributions on submanifolds, which generalize previous methods by allowing the use of set-valued maps in the proposal step of the MCMC algorithms. The motivation for…
The probabilistic velocity obstacle (PVO) extends the concept of velocity obstacle (VO) to work in uncertain dynamic environments. In this paper, we show how a robust model predictive control (MPC) with PVO constraints under non-parametric…
We analyze a variational time discretization of geodesic calculus on finite- and certain classes of infinite-dimensional Riemannian manifolds. We investigate the fundamental properties of discrete geodesics, the associated discrete…