Gaussian Approximations for Probability Measures on $R^d$

DOI10.1137/16M1105384zbMath1390.60022arXiv1611.08642MaRDI QIDQ4636355

Hendrik Weber, Yulong Lu, Andrew M. Stuart

Publication date: 19 April 2018

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.08642

zbMATH Keywords

Bernstein-von Mises theoremKullback-Leibler divergencegamma-convergenceGaussian approximation

Mathematics Subject Classification ID

Bayesian inference (62F15) Stochastic calculus of variations and the Malliavin calculus (60H07) Convergence of probability measures (60B10)

Related Items (11)

Relative entropy minimization over Hilbert spaces via Robbins-Monro ⋮ Variational Bayesian approximation of inverse problems using sparse precision matrices ⋮ Consensus‐based sampling ⋮ Bayesian calibration for large‐scale fluid structure interaction problems under embedded/immersed boundary framework ⋮ On the convergence of the Laplace approximation and noise-level-robustness of Laplace-based Monte Carlo methods for Bayesian inverse problems ⋮ Variational Bayes for High-Dimensional Linear Regression With Sparse Priors ⋮ Variational Gaussian approximation for Poisson data ⋮ Generalized Modes in Bayesian Inverse Problems ⋮ Frequentist Consistency of Variational Bayes ⋮ Γ-convergence of Onsager–Machlup functionals: II. Infinite product measures on Banach spaces ⋮ Convergence of spectral likelihood approximation based on q-Hermite polynomials for Bayesian inverse problems

Uses Software

• PRMLT

Cites Work

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