Related papers: Course Project Report: Comparing MCMC and Variatio…

In parameter estimation problems one computes a posterior distribution over uncertain parameters defined jointly by a prior distribution, a model, and noisy data. Markov Chain Monte Carlo (MCMC) is often used for the numerical solution of…

Variational Bayes (VB), a method originating from machine learning, enables fast and scalable estimation of complex probabilistic models. Thus far, applications of VB in discrete choice analysis have been limited to mixed logit models with…

This article focuses on covariance estimation for multi-view data. Popular approaches rely on factor-analytic decompositions that have shared and view-specific latent factors. Posterior computation is conducted via expensive and brittle…

Practitioners of Bayesian statistics have long depended on Markov chain Monte Carlo (MCMC) to obtain samples from intractable posterior distributions. Unfortunately, MCMC algorithms are typically serial, and do not scale to the large…

Proximal Markov Chain Monte Carlo is a novel construct that lies at the intersection of Bayesian computation and convex optimization, which helped popularize the use of nondifferentiable priors in Bayesian statistics. Existing formulations…

High-dimensional feature selection arises in many areas of modern science. For example, in genomic research we want to find the genes that can be used to separate tissues of different classes (e.g. cancer and normal) from tens of thousands…

Solving Bayesian inference problems approximately with variational approaches can provide fast and accurate results. Capturing correlation within the approximation requires an explicit parametrization. This intrinsically limits this…

Leaving posterior sensitivity concerns aside, non-identifiability of the parameters does not raise a difficulty for Bayesian inference as far as the posterior is proper, but multi-modality or flat regions of the posterior induced by the…

An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential…

A core problem in statistics and probabilistic machine learning is to compute probability distributions and expectations. This is the fundamental problem of Bayesian statistics and machine learning, which frames all inference as…

Radial velocity (RV) planet searches are increasingly finding planets with small velocity amplitudes, with long orbital periods, or in multiple planet systems. Bayesian inference has the potential to improve the interpretation of existing…

Computer vision can be understood as the ability to perform inference on image data. Breakthroughs in computer vision technology are often marked by advances in inference techniques. This thesis proposes novel inference schemes and…

The rapid growth of edge data generated by mobile devices and applications deployed at the edge of the network has exacerbated the problem of information overload. As an effective way to alleviate information overload, recommender system…

Decision trees have found widespread application within the machine learning community due to their flexibility and interpretability. This paper is directed towards learning decision trees from data using a Bayesian approach, which is…

Latent position network models are a versatile tool in network science; applications include clustering entities, controlling for causal confounders, and defining priors over unobserved graphs. Estimating each node's latent position is…

Bayesian Matrix Factorization (BMF) is a powerful technique for recommender systems because it produces good results and is relatively robust against overfitting. Yet BMF is more computationally intensive and thus more challenging to…

These lecture notes aim at a post-Bachelor audience with a background at an introductory level in Applied Mathematics and Applied Statistics. They discuss the logic and methodology of the Bayes-Laplace approach to inductive statistical…

Markov chain Monte Carlo (MCMC) algorithms have become powerful tools for Bayesian inference. However, they do not scale well to large-data problems. Divide-and-conquer strategies, which split the data into batches and, for each batch, run…

Brute force cross-validation (CV) is a method for predictive assessment and model selection that is general and applicable to a wide range of Bayesian models. Naive or `brute force' CV approaches are often too computationally costly for…

This thesis designs a prediction system based on matrix factorization to predict the classification accuracy of a specific model on a particular dataset. In this thesis, we conduct comprehensive empirical research on more than fifty…