Analytical Approximations for Bayesian Inference

Abstract

Bayesian inference is a statistical inference technique in which Bayes' theorem is used to update the probability distribution of a random variable using observations. Except for few simple cases, expression of such probability distributions using compact analytical expressions is infeasible. Approximation methods are required to express the a priori knowledge about a random variable in form of prior distributions. Further approximations are needed to compute posterior distributions of the random variables using the observations. When the computational complexity of representation of such posteriors increases over time as in mixture models, approximations are required to reduce the complexity of such representations.This thesis further extends existing approximation methods for Bayesian inference, and generalizes the existing approximation methods in three aspects namely; prior selection, posterior evaluation given the observations and maintenance of computation complexity.Particularly, the maximum entropy properties of the first-order stable spline kernel for identification of linear time-invariant stable and causal systems are shown. Analytical approximations are used to express the prior knowledge about the properties of the impulse response of a linear time-invariant stable and causal system.Variational Bayes (VB) method is used to compute an approximate posterior in two inference problems. In the first problem, an approximate posterior for the state smoothing problem for linear state-space models with unknown and timevarying noise covariances is proposed. In the second problem, the VB method is used for approximate inference in state-space models with skewed measurement noise.Moreover, a novel approximation method for Bayesian inference is proposed. The proposed Bayesian inference technique is based on Taylor series approximation of the logarithm of the likelihood function. The proposed approximation is devised for the case where the prior distribution belongs to the exponential family of distributions.Finally, two contributions are dedicated to the mixture reduction (MR) problem. The first contribution, generalize the existing MR algorithms for Gaussian mixtures to the exponential family of distributions and compares them in an extended target tracking scenario. The second contribution, proposes a new Gaussian mixture reduction algorithm which minimizes the reverse Kullback-Leibler divergence and has specific peak preserving properties. v Populärvetenskaplig sammanfattningBayes sats är ett grundläggande verktyg inom statistik som kan användas för att förfina förkunskapen om en variabel med hjälp av observationer. Förkunskapen kallas prior och beskrivs matematiskt som en sannolikhetsfunktion för den okän-da variabeln, och observationen beskrivs av en s.k. likelihood-funktion. Bayes sats säger att den normaliserade produkten av dessa beskriver den så kallade posteriorn, dvs. fördelningen för variabeln som skattningen ska baseras på. Kärn-problemet i avhandlingen är att denna funktion i de flesta fall...