Expectation Propagation for Likelihoods Depending on an Inner Product of Multivariate Random Variables
Matlab code for Bayesian sparse principal component analysis with Gaussian and/or probit likelihoods and spike and slab sparse prior. Inference methods: Expectation propagation (EP), Hybrid variational bayes - EP (VB-EP), and Gibbs sampling. See the readme for more information.
Peltola, Jylänki, Vehtari. Expectation propagation for likelihoods depending on an inner product of two multivariate random variables. In JMLR Workshop and Conference Proceedings: AISTATS 2014, volume 33, p. 769-777.
E-mail: tomi.peltola at aalto.fi