Detecting Model Misspecification in Bayesian Inverse Problems via Variational Gradient Descent
基于变分梯度下降的贝叶斯反问题模型误设检测
Bayesian inference is optimal when the statistical model is well-specified, while outside this setting Bayesian inference can catastrophically fail; accordingly a wealth of post-Bayesian methodologies have been proposed. Predictively oriented (PrO) approaches lift the statistical model $P_θ$ to an (infinite) mixture model $\int P_θ\; \mathrm{d}Q(θ)$ and fit this predictive distribution via minimising an entropy-regularised objective functional. In the well-specified setting…