Accurate logistic variational message passing: algebraic and numerical details

Publication Type:
Journal Article
Citation:
Stat, 2017, 6 (1), pp. 102 - 112
Issue Date:
2017-01-01
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Copyright © 2017 John Wiley & Sons, Ltd. We provide full algebraic and numerical details required for fitting accurate logistic likelihood regression-type models via variational message passing with factor graph fragments. Existing methodology of this type involves the Jaakkola–Jordan device, which is prone to poor accuracy. We examine two alternatives: the Saul–Jordan tilted bound device and conjugacy enforcement via multivariate normal prespecification of a key message. Both of these approaches appear in related literature. Our contributions facilitate immediate implementation within variational message passing schemes. Copyright © 2017 John Wiley & Sons, Ltd.
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