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Oct, 2020
高维 logistic 回归的钉板变分贝叶斯
Spike and slab variational Bayes for high dimensional logistic regression
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Kolyan Ray, Botond Szabo, Gabriel Clara
TL;DR
研究变分贝叶斯对于稀疏高维逻辑回归中广泛使用的贝叶斯模型选择先验的均场尖峰和板VB近似，该方法可以在L2和预测损失方面为稀疏的实际结果提供最佳收敛速率，并给出了有效的先验选择方法。
Abstract
variational bayes
(VB) is a popular scalable alternative to Markov chain Monte Carlo for Bayesian inference. We study a mean-field spike and slab VB approximation of widely used
bayesian model selection
priors in
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