Bayesian Inference and Optimal Design for the Sparse Linear Model

The linear model with sparsity-favouring prior on the coefficients has important applications in many different domains. In machine learning, most methods to date search for maximum a posteriori sparse solutions and neglect to represent posterior uncertainties. In this paper, we address problems of Bayesian optimal design (or experiment planning), for which accurate estimates of uncertainty are essential. To this end, we employ expectation propagation approximate inference for the linear model with Laplace prior, giving new insight into numerical stability properties and proposing a robust algorithm. We also show how to estimate model hyperparameters by empirical Bayesian maximisation of the marginal likelihood, and propose ideas in order to scale up the method to very large underdetermined problems. We demonstrate the versatility of our framework on the application of gene regulatory network identification from micro-array expression data, where both the Laplace prior and the active ...

• Type: Journal
• Year: 2008
• Where: JMLR
• Authors: Matthias W. Seeger
• Keywords: JMLR 2008, Linear Model, Network Identification, Posteriori Sparse Solutions