2 papers
stat.ML2020
Efficient Debiased Evidence Estimation by Multilevel Monte Carlo Sampling
Kei Ishikawa, Takashi Goda
In this paper, we propose a new stochastic optimization algorithm for Bayesian inference based on multilevel Monte Carlo (MLMC) methods. In Bayesian statistics, biased estimators o…
stat.ML2019
Multilevel Monte Carlo estimation of log marginal likelihood
Takashi Goda, Kei Ishikawa
In this short note we provide an unbiased multilevel Monte Carlo estimator of the log marginal likelihood and discuss its application to variational Bayes.