Bayesian Inference for Structured Spike and Slab Priors

Part of Advances in Neural Information Processing Systems 27 (NIPS 2014)

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Authors

Michael R. Andersen, Ole Winther, Lars K. Hansen

Abstract

<p>Sparse signal recovery addresses the problem of solving underdetermined linear inverse problems subject to a sparsity constraint. We propose a novel prior formulation, the structured spike and slab prior, which allows to incorporate a priori knowledge of the sparsity pattern by imposing a spatial Gaussian process on the spike and slab probabilities. Thus, prior information on the structure of the sparsity pattern can be encoded using generic covariance functions. Furthermore, we provide a Bayesian inference scheme for the proposed model based on the expectation propagation framework. Using numerical experiments on synthetic data, we demonstrate the benefits of the model.</p>