Expectation Propagation Algorithm

A Expectation Propagation Algorithm is a Deterministic Approximate Bayesian Inference Algorithm that ...

• AKA: Expectation Propagation.
• See: Variational Inference Algorithm; Kullback-Leibler Divergence; Gaussian Distribution; Gaussian Process; Graphical Models.

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References

2011

• (Heskes, 2011) ⇒ Tom Heskes. (2011). “Expectation Propagation.” In: (Sammut & Webb, 2011) p.383

2006

• (Bishop, 2006) ⇒ Christopher M. Bishop. (2006). “Pattern Recognition and Machine Learning." Springer, Information Science and Statistics. ISBN:0387310738
  • QUOTE: We conclude this chapter by discussion an alternative form of deterministic approximation inference, known as expectation propagation or EP (Minka, 2001a; Minka, 2001b). As with the variational Bayes methods discussed so far, this too is based on the minimization of a Kullback-Leibler divergence but now of the reverse form, which gives the approximation rather different properties.

2001

• (Minka, 2001) ⇒ T. P. Minka. (2001). “Expectation Propagation for Approximate Bayesian Inference.” In: Uncertainty in Artificial Intelligence (UAI 2001).

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