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Download as PDF; Printable version; ... It is a rewrite from scratch of the previous version of the PyMC software. [7] ... Black-box Variational Inference [32]
The reparameterization trick (aka "reparameterization gradient estimator") is a technique used in statistical machine learning, particularly in variational inference, variational autoencoders, and stochastic optimization.
Stan is a probabilistic programming language for statistical inference written in C++. [2] The Stan language is used to specify a (Bayesian) statistical model with an imperative program calculating the log probability density function.
Deep backward stochastic differential equation method is a numerical method that combines deep learning with Backward stochastic differential equation (BSDE). This method is particularly useful for solving high-dimensional problems in financial derivatives pricing and risk management .
Variational Bayesian methods are a family of techniques for approximating intractable integrals arising in Bayesian inference and machine learning.They are typically used in complex statistical models consisting of observed variables (usually termed "data") as well as unknown parameters and latent variables, with various sorts of relationships among the three types of random variables, as ...
In statistics, Markov chain Monte Carlo (MCMC) is a class of algorithms used to draw samples from a probability distribution.Given a probability distribution, one can construct a Markov chain whose elements' distribution approximates it – that is, the Markov chain's equilibrium distribution matches the target distribution.
Dynamic causal modeling (DCM) is a framework for specifying models, fitting them to data and comparing their evidence using Bayesian model comparison.It uses nonlinear state-space models in continuous time, specified using stochastic or ordinary differential equations.
These are called variational methods, such as 3D-Var and 4D-Var. Typical minimization algorithms are the conjugate gradient method or the generalized minimal residual method. The ensemble Kalman filter is sequential method that uses a Monte Carlo approach to estimate both the mean and the covariance of a Gaussian probability distribution by an ...