importance sampling & markov chain monte carlo (mcmc)nando/540-2013/lectures/l14.pdf ·...
TRANSCRIPT
CPSC540
Nando de FreitasMarch, 2013University of British Columbia
Importance sampling &
Markov chain Monte Carlo (MCMC)
Outline of the lecture
This is about Monte Carlo methods.
� We will revise importance sampling.� Revise how Google works (Markov chains).� Introduce Markov chain Monte Carlo (MCMC)
Bayesian logistic regressionThe logistic regression model specifies the probability of a binary outputyi ∈ {0, 1} given the input xi as follows:
p(y|X, θ) =
n∏
i=1
Ber(yi|sigm(xiθ))
=n∏
i=1
[1
1 + e−xiθ
]yi [1−
1
1 + e−xiθ
]1−yi∏
i=1
[
−
] [
−
]
Importance sampling
Importance sampling
Importance sampling
Example: Logistic Regression
Un-normalized importance sampling
Markov Chain Monte Carlo
Markov Chain Monte Carlo
Markov Chain Monte Carlo
Markov Chain Monte Carlo
Markov Chain Monte Carlo
Markov Chain Monte Carlo
Markov Chain Monte Carlo
Markov Chain Monte Carlo
Metropolis-Hastings for logistic regression
MCMC: Metropolis-Hastings
MCMC: Metropolis-Hastings
MCMC: Choosing the Right Proposal
MCMC: Theory
MCMC: Theory
Variations of Metropolis-Hastings
Extending MH to directed probabilistic graphical models
MINVOLSET
PCWP CO
HRBP
HREKG HRSAT
ERRCAUTERHRHISTORY
CATECHOL
SAO2 EXPCO2
ARTCO2
VENTALV
VENTLUNG VENITUBE
DISCONNECTVENTMACHKINKEDTUBEINTUBATIONPULMEMBOLUS
PAP SHUNT
ANAPHYLAXIS
MINOVL
PVSAT
FIO2PRESS
INSUFFANESTHTPR
LVFAILURE
ERRBLOWOUTPUTSTROEVOLUMELVEDVOLUME
HYPOVOLEMIA
CVP
BP
Bayesian graphical models and Gibbs
Gibbs Sampling
Gibbs Sampling
Gibbs Sampling For Graphical models
Auxiliary Variable Samplers
Hybrid (Hamiltonian) Monte Carlo
Hybrid Monte Carlo
Next lecture
In the next lecture, we look at constrained optimization and sparse methods in learning.