相关论文: BCMA-ES II: revisiting Bayesian CMA-ES

In recent years, a rich variety of shrinkage priors have been proposed that have great promise in addressing massive regression problems. In general, these new priors can be expressed as scale mixtures of normals, but have more complex…

Although various clustering methods have been successfully applied to polarimetric synthetic aperture radar (PolSAR) image clustering tasks, most of the available approaches fail to realize automatic determination of cluster number, nor…

This tutorial introduces the CMA Evolution Strategy (ES), where CMA stands for Covariance Matrix Adaptation. The CMA-ES is a stochastic, or randomized, method for real-parameter (continuous domain) optimization of non-linear, non-convex…

Bayesian model averaging (BMA) is the state of the art approach for overcoming model uncertainty. Yet, especially on small data sets, the results yielded by BMA might be sensitive to the prior over the models. Credal Model Averaging (CMA)…

The noncentral Wishart distribution has become more mainstream in statistics as the prevalence of applications involving sample covariances with underlying multivariate Gaussian populations as dramatically increased since the advent of…

We consider the problem of estimating covariance and precision matrices, and their associated discriminant coefficients, from normal data when the rank of the covariance matrix is strictly smaller than its dimension and the available sample…

In this paper we consider non-asymptotic behavior of the real compound Wishart matrices that generalize the classical real Wishart distribution. In particular, we consider matrices of the form 1/nXBX', where X consists of real centered…

This paper explores the theoretical basis of the covariance matrix adaptation evolution strategy (CMA-ES) from the information geometry viewpoint. To establish a theoretical foundation for the CMA-ES, we focus on a geometric structure of a…

The covariance matrix adaptation evolution strategy (CMA-ES) is an efficient continuous black-box optimization method. The CMA-ES possesses many attractive features, including invariance properties and a well-tuned default hyperparameter…

This paper develops a bias correction scheme for a multivariate normal model under a general parameterization. In the model, the mean vector and the covariance matrix share the same parameters. It includes many important regression models…

We propose the Bayesian bridge estimator for regularized regression and classification. Two key mixture representations for the Bayesian bridge model are developed: (1) a scale mixture of normals with respect to an alpha-stable random…

This work provides an efficient sampling method for the covariance matrix adaptation evolution strategy (CMA-ES) in large-scale settings. In contract to the Gaussian sampling in CMA-ES, the proposed method generates mutation vectors from a…

This article studies Bayesian model averaging (BMA) in the context of competing expensive computer models in a typical nuclear physics setup. While it is well known that BMA accounts for the additional uncertainty of the model itself, we…

A Bayesian multivariate model with a structured covariance matrix for multi-way nested data is proposed. This flexible modeling framework allows for positive and for negative associations among clustered observations, and generalizes the…

We introduce a novel class of Bayesian mixtures for normal linear regression models which incorporates a further Gaussian random component for the distribution of the predictor variables. The proposed cluster-weighted model aims to…

A Bayesian approach is used to estimate the covariance matrix of Gaussian data. Ideas from Gaussian graphical models and model selection are used to construct a prior for the covariance matrix that is a mixture over all decomposable graphs.…

Study of the bivariate normal distribution raises the full range of issues involving objective Bayesian inference, including the different types of objective priors (e.g., Jeffreys, invariant, reference, matching), the different modes of…

Models which include domain constraints occur in myriad contexts such as econometrics, genomics, and environmetrics, though simulating from constrained distributions can be computationally expensive. In particular, repeated sampling from…

This paper studies prediction with multiple candidate models, where the goal is to combine their outputs. This task is especially challenging in heterogeneous settings, where different models may be better suited to different inputs. We…

We study frequentist risk properties of predictive density estimators for mean mixtures of multivariate normal distributions, involving an unknown location parameter $\theta \in \mathbb{R}^d$, and which include multivariate skew normal…