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Nonparametric Bayesian inference on multivariate exponential families
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Authors: William R. Vega-Brown,Marek Doniec,Nicholas G. Roy
Where published: NeurIPS 2014 12
Document: PDF DOI
Abstract URL: http://papers.nips.cc/paper/5371-nonparametric-bayesian-inference-on-multivariate-exponential-families
We develop a model by choosing the maximum entropy distribution from the set of models satisfying certain smoothness and independence criteria; we show that inference on this model generalizes local kernel estimation to the context of Bayesian inference on stochastic processes. Our model enables Bayesian inference in contexts when standard techniques like Gaussian process inference are too expensive to apply. Exact inference on our model is possible for any likelihood function from the exponential family. Inference is then highly efficient, requiring only O(log N) time and O(N) space at run time. We demonstrate our algorithm on several problems and show quantifiable improvement in both speed and performance relative to models based on the Gaussian process.
Where published: NeurIPS 2014 12
Document: PDF DOI
Abstract URL: http://papers.nips.cc/paper/5371-nonparametric-bayesian-inference-on-multivariate-exponential-families
We develop a model by choosing the maximum entropy distribution from the set of models satisfying certain smoothness and independence criteria; we show that inference on this model generalizes local kernel estimation to the context of Bayesian inference on stochastic processes. Our model enables Bayesian inference in contexts when standard techniques like Gaussian process inference are too expensive to apply. Exact inference on our model is possible for any likelihood function from the exponential family. Inference is then highly efficient, requiring only O(log N) time and O(N) space at run time. We demonstrate our algorithm on several problems and show quantifiable improvement in both speed and performance relative to models based on the Gaussian process.
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