A categorical foundation for Bayesian probability

DOI10.1007/S10485-013-9324-9MaRDI QIDQ742929zbMATH OpenOpenAlexFDO

Authors Jared Culbertson, Kirk Sturtz

Publication date 19 September 2014

Published in Applied Categorical Structures (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.1488

zbMATH Keywords

decision rulesBayesian probabilityGiry monadregular conditional probability

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Axioms; other general questions in probability (60A05)

Abstract: Given two measurable spaces $H$ and $D$ with countably generated $sigma$-algebras, a perfect prior probability measure $P_H$ on $H$ and a sampling distribution $S:HightarrowD$, there is a corresponding inference map $I:DightarrowH$ which is unique up to a set of measure zero. Thus, given a data measurement $mu:1ightarrowD$, a posterior probability $widehat{P}_H=Icircmu$ can be computed. This procedure is iterative: with each updated probability $P_H$, we obtain a new joint distribution which in turn yields a new inference map $I$ and the process repeats with each additional measurement. The main result uses an existence theorem for regular conditional probabilities by Faden, which holds in more generality than the setting of Polish spaces. This less stringent setting then allows for non-trivial decision rules (Eilenberg--Moore algebras) on finite (as well as non finite) spaces, and also provides for a common framework for decision theory and Bayesian probability.

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(18)

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• The factorization of the Giry monad
• A non-commutative Bayes' theorem
• scientific article; zbMATH DE number 7052238 (Why is no real title available?)
• Weak and TV consistency in Bayesian uncertainty quantification using disintegration
• Categorical Stochastic Processes and Likelihood
• Giry and the Machine
• Belief propagation in monoidal categories
• Infinite products and zero-one laws in categorical probability
• Categorical approach to modelling and to coupling of models
• A synthetic approach to Markov kernels, conditional independence and theorems on sufficient statistics
• From probability monads to commutative effectuses
• Conditional distributions for quantum systems
• Multinomial and hypergeometric distributions in Markov categories
• A channel-based perspective on conjugate priors
• Disintegration and Bayesian inversion via string diagrams

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