iterLap (Q153490)
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Approximate Probability Densities by Iterated Laplace Approximations
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | iterLap |
Approximate Probability Densities by Iterated Laplace Approximations |
Statements
30 September 2023
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The iterLap (iterated Laplace approximation) algorithm approximates a general (possibly non-normalized) probability density on R^p, by repeated Laplace approximations to the difference between current approximation and true density (on log scale). The final approximation is a mixture of multivariate normal distributions and might be used for example as a proposal distribution for importance sampling (eg in Bayesian applications). The algorithm can be seen as a computational generalization of the Laplace approximation suitable for skew or multimodal densities.
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