2020
Spike and slab variational Bayes for high dimensional logistic regression
NeurIPS 2020poster
Variational Bayes (VB) is a popular scalable alternative to Markov chain Monte Carlo for Bayesian inference. We study a mean-field spike and slab VB approximation of widely used Bayesian model selection priors in sparse high-dimensional logistic regression. We provide non-asymptotic theoretical guar…