search

pyro-ppl / funsor

Functional tensors for probabilistic programming
https://funsor.pyro.ai
Apache License 2.0
236 stars 20 forks source link

Implement an expectation propagation interpretation #90

Open fritzo opened 5 years ago

fritzo commented 5 years ago

One approach to approximate inference is expectation propagation. Can we implement EP as an interpretation?

fritzo commented 5 years ago

Kevin Murphy recommended a paper by the ForneyLab authors

In the case where discretes are children of Gaussians (eg Gaussian state space models which generate discrete observations), you have to use EP-type methods for the local message passing.

M. Cox and B. de Vries, “Robust Expectation Propagation in Factor Graphs Involving Both Continuous and Binary Variables,” in 26th European Signal Processing Conference, 2018 [Online]. Available: https://biaslab.github.io/pdf/eusipco2018/cox_robust_expectation_propagation.pdf