Using Autodiff to Estimate Posterior Moments, Marginals and Samples: Methods

Written by bayesianinference | Published 2024/04/15
Tech Story Tags: autodiff | estimate-posterior-moments | importance-weighting | bayesian-posterior | reweight-samples | conditional-independencies | importance-sampling | backward-traversals

TLDRImportance weighting allows us to reweight samples drawn from a proposal in order to compute expectations of a different distribution.via the TL;DR App

This paper is available on arxiv under CC 4.0 license.

Authors:

(1) Sam Bowyer, Equal contribution, Department of Mathematics and [email protected];

(2) Thomas Heap, Equal contribution, Department of Computer Science University of Bristol and [email protected];

(3) Laurence Aitchison, Department of Computer Science University of Bristol and [email protected].

Table of Links

Methods

Of course, the contributions of this paper are not in computing the unbiased marginal likelihood estimator, which previously has been used in learning general probabilistic models, but instead our major contribution is a novel approach to computing key quantities of interest in Bayesian computation by applying the source term trick to the massively parallel marginal likelihood estimator. In particular, in the following sections, we outline in turn how to compute posterior expectations, marginals and samples.


Written by bayesianinference | At BayesianInference.Tech, as more evidence becomes available, we make predictions and refine beliefs.
Published by HackerNoon on 2024/04/15