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Nonparametric Bayesian Inference on Multivariate Exponential Families

Author(s)
Vega-Brown, William R; Doniec, Marek Wojciech; Roy, Nicholas
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Abstract
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.
Date issued
2014-12
URI
http://hdl.handle.net/1721.1/109581
Department
Massachusetts Institute of Technology. Department of Aeronautics and Astronautics; Massachusetts Institute of Technology. Department of Mechanical Engineering
Journal
Proceedings of the 27th International Conference on Neural Information Processing Systems
Publisher
Association for Computing Machinery (ACM)
Citation
Vega-Brown, William, Marek Doniec and Nicholas Roy. "Nonparametric Bayesian inference on multivariate exponential families." 27th International Conference on Neural Information Processing Systems, 8-13 December, 2014, Montreal, Canada, Association for Computing Machinery, 2014.
Version: Author's final manuscript
ISBN
9781510800410

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