Related papers: Variational message passing for online polynomial …

Bayesian analyses combine information represented by different terms in a joint Bayesian model. When one or more of the terms is misspecified, it can be helpful to restrict the use of information from suspect model components to modify…

The estimation of non-Gaussian measurement noise models is a significant challenge across various fields. In practical applications, it often faces challenges due to the large number of parameters and high computational complexity. This…

Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient of a stochastic differential equation. We postulate a histogram-type prior on the volatility…

Variational Bayesian (VB) methods produce posterior inference in a time frame considerably smaller than traditional Markov Chain Monte Carlo approaches. Although the VB posterior is an approximation, it has been shown to produce good…

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.…

Bayesian phylogenetic inference is currently done via Markov chain Monte Carlo (MCMC) with simple proposal mechanisms. This hinders exploration efficiency and often requires long runs to deliver accurate posterior estimates. In this paper,…

Variational inference has been widely used in machine learning literature to fit various Bayesian models. In network analysis, this method has been successfully applied to solve the community detection problems. Although these results are…

We propose a Bayesian approach for recursively estimating the classifier weights in online learning of a classifier ensemble. In contrast with past methods, such as stochastic gradient descent or online boosting, our approach estimates the…

A wide class of Bayesian models involve unidentifiable random matrices that display rotational ambiguity, with the Gaussian factor model being a typical example. A rich variety of Markov chain Monte Carlo (MCMC) algorithms have been…

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…

We propose a sampling algorithm to perform system identification from a set of input-output graph signal pairs. The dynamics of the systems we study are given by a partially known adjacency matrix and a generic parametric graph filter of…

In this paper, we address the fusion problem in wireless sensor networks, where the cross-correlation between the estimates is unknown. To solve the problem within the Bayesian framework, we assume that the covariance matrix has a prior…

Inference for GP models with non-Gaussian noises is computationally expensive when dealing with large datasets. Many recent inference methods approximate the posterior distribution with a simpler distribution defined on a small number of…

We tackle the problem of system identification, where we select inputs, observe the corresponding outputs from the true system, and optimize the parameters of our model to best fit the data. We propose a practical and computationally…

System identification is of special interest in science and engineering. This article is concerned with a system identification problem arising in stochastic dynamic systems, where the aim is to estimate the parameters of a system along…

In theory, Bayesian nonparametric (BNP) models are well suited to streaming data scenarios due to their ability to adapt model complexity with the observed data. Unfortunately, such benefits have not been fully realized in practice;…

Factorization machines (FMs) are a powerful tool for regression and classification in the context of sparse observations, that has been successfully applied to collaborative filtering, especially when side information over users or items is…

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…

We propose a new variational inference algorithm for learning in Gaussian Process State-Space Models (GPSSMs). Our algorithm enables learning of unstable and partially observable systems, where previous algorithms fail. Our main algorithmic…

Many modern unsupervised or semi-supervised machine learning algorithms rely on Bayesian probabilistic models. These models are usually intractable and thus require approximate inference. Variational inference (VI) lets us approximate a…