Automatic Laplace Collapsed Sampling: Scalable Marginalisation of Latent Parameters via Automatic Differentiation
自动拉普拉斯折叠采样:以自动微分扩展潜在参数边际化
We present Automatic Laplace Collapsed Sampling (ALCS), a general framework for marginalising latent parameters in Bayesian models using automatic differentiation, which we combine with nested sampling to explore the hyperparameter space in a robust and efficient manner. At each nested sampling likelihood evaluation, ALCS collapses the high-dimensional latent variables $z$ to a scalar contribution via maximum a posteriori (MAP) optimisation and a Laplace approximation, both…