Gaussian variational approximation with sparse precision matrices

18 May 2016Linda S. L. TanDavid J. Nott

We consider the problem of learning a Gaussian variational approximation to the posterior distribution for a high-dimensional parameter, where we impose sparsity in the precision matrix to reflect appropriate conditional independence structure in the model. Incorporating sparsity in the precision matrix allows the Gaussian variational distribution to be both flexible and parsimonious, and the sparsity is achieved through parameterization in terms of the Cholesky factor... (read more)

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