{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/efficient-expectation-propagation-for","title":"Efficient expectation propagation for posterior approximation in high-dimensional probit models","arxiv_id":"2309.01619","date":"2023-09-04","proceeding":null,"authors":["Augusto Fasano","Niccolò Anceschi","Beatrice Franzolini","Giovanni Rebaudo"],"abstract":"Bayesian binary regression is a prosperous area of research due to the computational challenges encountered by currently available methods either for high-dimensional settings or large datasets, or both. In the present work, we focus on the expectation propagation (EP) approximation of the posterior distribution in Bayesian probit regression under a multivariate Gaussian prior distribution. Adapting more general derivations in Anceschi et al. (2023), we show how to leverage results on the extended multivariate skew-normal distribution to derive an efficient implementation of the EP routine having a per-iteration cost that scales linearly in the number of covariates. This makes EP computationally feasible also in challenging high-dimensional settings, as shown in a detailed simulation study.","url_abs":"https://arxiv.org/abs/2309.01619v1","url_pdf":"https://arxiv.org/pdf/2309.01619v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"efficient-expectation-propagation-for","repo_url":"https://github.com/augustofasano/EPprobit-SN","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[{"task_slug":"regression-1","task_name":"regression"}],"methods":[{"method_slug":"focus","method_name":"Focus"}],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}