(Skew) Gaussian surrogates for high-dimensional posteriors: tighter bounds and tighter approximations
- Series
- Stochastics Seminar
- Time
- Thursday, August 31, 2023 - 15:30 for 1 hour (actually 50 minutes)
- Location
- Skiles 006
- Speaker
- Anya Katsevich – MIT
Computing integrals against a high-dimensional posterior is the major computational bottleneck in Bayesian inference. A popular technique to reduce this computational burden is to use the Laplace approximation, a Gaussian distribution, in place of the true posterior. Despite its widespread use, the Laplace approximation's accuracy in high dimensions is not well understood. The body of existing results does not form a cohesive theory, leaving open important questions e.g. on the dimension dependence of the approximation rate. We address many of these questions through the unified framework of a new, leading order asymptotic decomposition of high-dimensional Laplace integrals. In particular, we (1) determine the tight dimension dependence of the approximation error, leading to the tightest known Bernstein von Mises result on the asymptotic normality of the posterior, and (2) derive a simple correction to this Gaussian distribution to obtain a higher-order accurate approximation to the posterior.