论文标题

快速贝叶斯与批处理贝叶斯正交通过内核重组

Fast Bayesian Inference with Batch Bayesian Quadrature via Kernel Recombination

论文作者

Adachi, Masaki, Hayakawa, Satoshi, Jørgensen, Martin, Oberhauser, Harald, Osborne, Michael A.

论文摘要

贝叶斯后期和模型证据的计算通常需要数值整合。贝叶斯正交(BQ)是一种基于替代模型的数值集成方法,能够具有出色的样品效率,但其缺乏并行化阻碍了其实际应用。在这项工作中,我们提出了一种采用核正流技术的平行(批次)BQ方法,该技术具有经验指数的收敛速率。另外,就像嵌套采样一样,我们的方法允许同时推断后期和模型证据。重新选择了来自BQ替代模型的样本,以通过内核重组算法获得一组稀疏的样品,这需要可忽略的额外时间来增加批处理大小。从经验上讲,我们发现我们的方法在各种现实世界中的数据集中(包括锂离子电池分析)中的最先进的BQ技术和嵌套采样的采样效率显着优于采样效率。

Calculation of Bayesian posteriors and model evidences typically requires numerical integration. Bayesian quadrature (BQ), a surrogate-model-based approach to numerical integration, is capable of superb sample efficiency, but its lack of parallelisation has hindered its practical applications. In this work, we propose a parallelised (batch) BQ method, employing techniques from kernel quadrature, that possesses an empirically exponential convergence rate. Additionally, just as with Nested Sampling, our method permits simultaneous inference of both posteriors and model evidence. Samples from our BQ surrogate model are re-selected to give a sparse set of samples, via a kernel recombination algorithm, requiring negligible additional time to increase the batch size. Empirically, we find that our approach significantly outperforms the sampling efficiency of both state-of-the-art BQ techniques and Nested Sampling in various real-world datasets, including lithium-ion battery analytics.

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