448 citations · 1.5k across the 49 of their papers we have counts for
54 papers
Bayesian inference, on-line forecasting and model choice for large VAR models with Cholesky stochastic volatility
Nicolas Chopin, Andras Fulop, Yuedan Huo +1
We consider -dimensional Bayesian vector autoregressions (BVARs) with Cholesky stochastic volatility (SV), in which the innovation covariance matrix is a lower-triangular linear…
Fast Slate Policy Optimization: Going Beyond Plackett-Luce
Otmane Sakhi, David Rohde, Nicolas Chopin
An increasingly important building block of large scale machine learning systems is based on returning slates; an ordered lists of items given a query. Applications of this technol…
Debiasing Piecewise Deterministic Markov Process samplers using couplings
Adrien Corenflos, Matthew Sutton, Nicolas Chopin
Monte Carlo methods -- such as Markov chain Monte Carlo (MCMC) and piecewise deterministic Markov process (PDMP) samplers -- provide asymptotically exact estimators of expectations…
Scalable Bayesian bi-level variable selection in generalized linear models
Younès Youssfi, Nicolas Chopin
Motivated by a real-world application in cardiology, we develop an algorithm to perform Bayesian bi-level variable selection in a generalized linear model, for datasets that may be…
PAC-Bayesian Offline Contextual Bandits With Guarantees
Otmane Sakhi, Pierre Alquier, Nicolas Chopin
This paper introduces a new principled approach for off-policy learning in contextual bandits. Unlike previous work, our approach does not derive learning principles from intractab…
Higher-order stochastic integration through cubic stratification
Nicolas Chopin, Mathieu Gerber
We propose two novel unbiased estimators of the integral for a function , which depend on a smoothness parameter . The first estimator…