Keyi Wu

Projected Stein Variational Newton: A Fast and Scalable Bayesian Inference Method in High Dimensions

We propose a projected Stein variational Newton (pSVN) method for high-dimensional Bayesian inference. To address the curse of dimensionality, we exploit the intrinsic low-dimensional geometric structure of the posterior distribution in the high-dimensional parameter space via its Hessian (of the lo…