相关论文: Variational inference for hierarchical models with…

This article explores the optimization of variational approximations for posterior covariances of Gaussian multiway arrays. To achieve this, we establish a natural differential geometric optimization framework on the space using the…

The main computational challenge in Bayesian inference is to compute integrals against a high-dimensional posterior distribution. In the past decades, variational inference (VI) has emerged as a tractable approximation to these integrals,…

We study Bayesian inference methods for solving linear inverse problems, focusing on hierarchical formulations where the prior or the likelihood function depend on unspecified hyperparameters. In practice, these hyperparameters are often…

We explore various Bayesian approaches to estimate partial Gaussian graphical models. Our hierarchical structures enable to deal with single-output as well as multiple-output linear regressions, in small or high dimension, enforcing either…

We propose a new approach to Bayesian prediction that caters for models with a large number of parameters and is robust to model misspecification. Given a class of high-dimensional (but parametric) predictive models, this new approach…

We consider a Bayesian approach to variable selection in the presence of high dimensional covariates based on a hierarchical model that places prior distributions on the regression coefficients as well as on the model space. We adopt the…

Bayesian posterior distributions arising in modern applications, including inverse problems in partial differential equation models in tomography and subsurface flow, are often computationally intractable due to the large computational cost…

In Bayesian inference, making deductions about a parameter of interest requires one to sample from or compute an integral against a posterior distribution. A popular method to make these computations cheaper in high-dimensional settings is…

Gaussian empirical Bayes methods usually maintain a precision independence assumption: The unknown parameters of interest are independent from the known standard errors of the estimates. This assumption is often theoretically questionable…

Sparse variational Gaussian processes (GPs) construct tractable posterior approximations to GP models. At the core of these methods is the assumption that the true posterior distribution over training function values ${\bf f}$ and inducing…

Inverse problems, i.e., estimating parameters of physical models from experimental data, are ubiquitous in science and engineering. The Bayesian formulation is the gold standard because it alleviates ill-posedness issues and quantifies…

Bayesian nonparametric regression under a rescaled Gaussian process prior offers smoothness-adaptive function estimation with near minimax-optimal error rates. Hierarchical extensions of this approach, equipped with stochastic variable…

Bayesian inference allows us to define a posterior distribution over the weights of a generic neural network (NN). Exact posteriors are usually intractable, in which case approximations can be employed. One such approximation - variational…

Standard sparse pseudo-input approximations to the Gaussian process (GP) cannot handle complex functions well. Sparse spectrum alternatives attempt to answer this but are known to over-fit. We suggest the use of variational inference for…

A method for sequential inference of the fixed parameters of a dynamic latent Gaussian models is proposed and evaluated that is based on the iterated Laplace approximation. The method provides a useful trade-off between computational…

The main goal of this paper is an application of Bayesian model comparison, based on the posterior probabilities and posterior odds ratios, in testing the explanatory power of the set of competing GARCH (ang. Generalised Autoregressive…

We present a new approach to using neural networks to approximate the solutions of variational equations, based on the adaptive construction of a sequence of finite-dimensional subspaces whose basis functions are realizations of a sequence…

Due to their conjugate posteriors, Gaussian process priors are attractive for estimating the drift of stochastic differential equations with continuous time observations. However, their performance strongly depends on the choice of the…

Graphical models describe associations between variables through the notion of conditional independence. Gaussian graphical models are a widely used class of such models where the relationships are formalized by non-null entries of the…

The use of Gaussian processes (GPs) is supported by efficient sampling algorithms, a rich methodological literature, and strong theoretical grounding. However, due to their prohibitive computation and storage demands, the use of exact GPs…