论文标题

贝叶斯引导尖峰和斜纹拉索

Bayesian Bootstrap Spike-and-Slab LASSO

论文作者

Nie, Lizhen, Ročková, Veronika

论文摘要

后取样的不切实际性阻止了在高维应用中广泛采用尖峰和斜线先验。为了减轻计算负担,已提出优化策略,以迅速找到局部后部模式。这些策略在计算速度方面进行了不确定性量化的交易,使Spike and-Slab部署在以前是不可行的尺度上。我们基于这项工作的最新发展:Ročková和George(2018)的Spike and-Slab Lasso程序。但是,我们没有进行优化,而是探索了多种后抽样的途径,有些是传统和一些新的。在尖峰和slab套索模式检测的速度上,我们通过对许多独立扰动的数据集进行MAP优化来探讨了从近似后部采样的可能性。为此,我们探讨了贝叶斯引导的想法,并引入了一类新的带有随机收缩目标的抖动的尖刺和slab lasso先验。这些先验是贝叶斯引导尖峰和斜肌拉索(BB-SSL)方法的关键组成部分。 BB-SSL将快速优化变成近似的后验采样。除了可扩展性之外,我们还表明BB-SSL具有强大的理论支持。的确,我们发现诱发的伪随机杆围绕真理的伪造,在稀疏的正常均值和高维回归中以几乎最佳的速度签约。我们将算法与传统的随机搜索变量选择(在拉普拉斯先验下)以及许多用于收缩先验的最新方法进行了比较。在模拟和实际数据中,我们表明我们的方法在这些比较中表现出色,通常可以提供可观的计算收益。

The impracticality of posterior sampling has prevented the widespread adoption of spike-and-slab priors in high-dimensional applications. To alleviate the computational burden, optimization strategies have been proposed that quickly find local posterior modes. Trading off uncertainty quantification for computational speed, these strategies have enabled spike-and-slab deployments at scales that would be previously unfeasible. We build on one recent development in this strand of work: the Spike-and-Slab LASSO procedure of Ročková and George (2018). Instead of optimization, however, we explore multiple avenues for posterior sampling, some traditional and some new. Intrigued by the speed of Spike-and-Slab LASSO mode detection, we explore the possibility of sampling from an approximate posterior by performing MAP optimization on many independently perturbed datasets. To this end, we explore Bayesian bootstrap ideas and introduce a new class of jittered Spike-and-Slab LASSO priors with random shrinkage targets. These priors are a key constituent of the Bayesian Bootstrap Spike-and-Slab LASSO (BB-SSL) method proposed here. BB-SSL turns fast optimization into approximate posterior sampling. Beyond its scalability, we show that BB-SSL has a strong theoretical support. Indeed, we find that the induced pseudo-posteriors contract around the truth at a near-optimal rate in sparse normal-means and in high-dimensional regression. We compare our algorithm to the traditional Stochastic Search Variable Selection (under Laplace priors) as well as many state-of-the-art methods for shrinkage priors. We show, both in simulations and on real data, that our method fares superbly in these comparisons, often providing substantial computational gains.

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