Generalized Bayesian Updating and the Loss-Likelihood Bootstrap Machine Learning

In this paper, we revisit the weighted likelihood bootstrap and show that it is well-motivated for Bayesian inference under misspecified models. We extend the underlying idea to a wider family of inferential problems. This allows us to calibrate an analogue of the likelihood function in situations where little is known about the data-generating mechanism. We demonstrate our method on a number of examples.

Scalable Nonparametric Sampling from Multimodal Posteriors with the Posterior Bootstrap Machine Learning

Increasingly complex datasets pose a number of challenges for Bayesian inference. Conventional posterior sampling based on Markov chain Monte Carlo can be too computationally intensive, is serial in nature and mixes poorly between posterior modes. Further, all models are misspecified, which brings into question the validity of the conventional Bayesian update. We present a scalable Bayesian nonparametric learning routine that enables posterior sampling through the optimization of suitably randomized objective functions. A Dirichlet process prior on the unknown data distribution accounts for model misspecification, and admits an embarrassingly parallel posterior bootstrap algorithm that generates independent and exact samples from the nonparametric posterior distribution. Our method is particularly adept at sampling from multimodal posterior distributions via a random restart mechanism. We demonstrate our method on Gaussian mixture model and sparse logistic regression examples.

Nonparametric learning from Bayesian models with randomized objective functions Machine Learning

Bayesian learning is built on an assumption that the model space contains a true reflection of the data generating mechanism. This assumption is problematic, particularly in complex data environments. Here we present a Bayesian nonparametric approach to learning that makes use of statistical models, but does not assume that the model is true. Our approach has provably better properties than using a parametric model and admits a trivially parallelizable Monte Carlo sampling scheme that affords massive scalability on modern computer architectures. The model-based aspect of learning is particularly attractive for regularizing nonparametric inference when the sample size is small, and also for correcting approximate approaches such as variational Bayes (VB). We demonstrate the approach on a number of examples including VB classifiers and Bayesian random forests.

Big Learning with Bayesian Methods Machine Learning

Explosive growth in data and availability of cheap computing resources have sparked increasing interest in Big learning, an emerging subfield that studies scalable machine learning algorithms, systems, and applications with Big Data. Bayesian methods represent one important class of statistic methods for machine learning, with substantial recent developments on adaptive, flexible and scalable Bayesian learning. This article provides a survey of the recent advances in Big learning with Bayesian methods, termed Big Bayesian Learning, including nonparametric Bayesian methods for adaptively inferring model complexity, regularized Bayesian inference for improving the flexibility via posterior regularization, and scalable algorithms and systems based on stochastic subsampling and distributed computing for dealing with large-scale applications.

The Truth About Bayesian Priors and Overfitting


Have you ever thought about how strong a prior is compared to observed data? In order to alleviate this trouble I will take you through some simulation exercises. These are meant as a fruit for thought and not necessarily a recommendation. However, many of the considerations we will run through will be directly applicable to your everyday life of applying Bayesian methods to your specific domain. We will start out by creating some data generated from a known process.