Gaussian variational approximation with sparse precision matrices
From MaRDI portal
Abstract: We consider the problem of learning a Gaussian variational approximation to the posterior distribution for a high-dimensional parameter, where we impose sparsity in the precision matrix to reflect appropriate conditional independence structure in the model. Incorporating sparsity in the precision matrix allows the Gaussian variational distribution to be both flexible and parsimonious, and the sparsity is achieved through parameterization in terms of the Cholesky factor. Efficient stochastic gradient methods which make appropriate use of gradient information for the target distribution are developed for the optimization. We consider alternative estimators of the stochastic gradients which have lower variation and are more stable. Our approach is illustrated using generalized linear mixed models and state space models for time series.
Recommendations
- Conditionally structured variational Gaussian approximation with importance weights
- The Variational Gaussian Approximation Revisited
- The limited-memory recursive variational Gaussian approximation (L-RVGA)
- Bayesian structure learning in graphical models
- Asymptotic normality and valid inference for Gaussian variational approximation
Cites work
- scientific article; zbMATH DE number 6377992 (Why is no real title available?)
- A Stochastic Approximation Method
- A new approach to Cholesky-based covariance regularization in high dimensions
- A stochastic variational framework for fitting and diagnosing generalized linear mixed models
- Adaptive subgradient methods for online learning and stochastic optimization
- An introduction to variational methods for graphical models
- Applied logistic regression
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- Approximate Inference in Generalized Linear Mixed Models
- Approximate dynamic programming. Solving the curses of dimensionality
- Automatic differentiation variational inference
- Explaining variational approximations
- Fixed-form variational posterior approximation through stochastic linear regression
- Gaussian Kullback-Leibler approximate inference
- Introduction to Stochastic Search and Optimization
- Maximizing Generalized Linear Mixed Model Likelihoods With an Automated Monte Carlo EM Algorithm
- Multivariate Stochastic Variance Models
- Pattern recognition and machine learning.
- Semiparametric mean field variational Bayes: general principles and numerical issues
- Some Covariance Models for Longitudinal Count Data with Overdispersion
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Streamlined mean field variational Bayes for longitudinal and multilevel data analysis
- The Variational Gaussian Approximation Revisited
- Time series analysis by state space methods.
- Variational inference for generalized linear mixed models using partially noncentered parametrizations
- Variational message passing
Cited in
(24)- Bayesian computational methods for state-space models with application to SIR model
- Conditionally structured variational Gaussian approximation with importance weights
- Bayesian Variational Inference for Exponential Random Graph Models
- High-Dimensional Copula Variational Approximation Through Transformation
- Variational inference for high dimensional structured factor copulas
- Variational Bayesian approximation of inverse problems using sparse precision matrices
- Implementation and analysis of GPU algorithms for Vecchia approximation
- Variational Bayes with synthetic likelihood
- Gaussian Variational Approximation With a Factor Covariance Structure
- Bayesian Deep Net GLM and GLMM
- Gaussian variational approximations for high-dimensional state space models
- Deep Compositional Spatial Models
- On coregionalized multivariate Gaussian Markov random fields: construction, parameterization, and Bayesian estimation and inference
- R-VGAL: a sequential variational Bayes algorithm for generalised linear mixed models
- Variational approximation for heteroscedastic linear models and matching pursuit algorithms
- Generalized Sparse Precision Matrix Selection for Fitting Multivariate Gaussian Random Fields to Large Data Sets
- A variational inference for the Lévy adaptive regression with multiple kernels
- An integrated FIR adaptive filter design by hybridizing canonical signed digit (CSD) and approximate booth recode (ABR) algorithm in DA architecture for the reduction of noise in the sensor nodes
- The Variational Gaussian Approximation Revisited
- The limited-memory recursive variational Gaussian approximation (L-RVGA)
- Updating variational Bayes: fast sequential posterior inference
- Variational Bayes for Fast and Accurate Empirical Likelihood Inference
- Stochastic variational inference for GARCH models
- Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series
This page was built for publication: Gaussian variational approximation with sparse precision matrices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1702005)
