Expectation Propagation, Experimental Design for the Sparse Linear Model
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If you have a question about this talk, please contact Zoubin Ghahramani.
Expectation propagation (EP) is a novel variational method for approximate
Bayesian inference, which has given promising results in terms of computational
efficiency and accuracy in several machine learning applications. It can readily
be applied to inference in linear models with non-Gaussian priors, generalised
linear models, or nonparametric Gaussian process models, among others.
I will give an introduction to this framework. Important
aspects of EP are not well-understood theoretically.
I will highlight some open problems.
I will then show how to address sequential experimental design for a linear model
with non-Gaussian sparsity priors, giving some results in two different machine
learning applications. These results indicate that experimental design for these
models may have significantly different properties than for linear-Gaussian models,
where Bayesian inference is analytically tractable and experimental design seems best understood.
This talk is part of the Machine Learning @ CUED series.
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