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VariationalBayesianRegression

scirs2_stats::bayesian

Struct VariationalBayesianRegression 

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pub struct VariationalBayesianRegression {
    pub mean_beta: Array1<f64>,
    pub cov_beta: Array2<f64>,
    pub shape_tau: f64,
    pub rate_tau: f64,
    pub prior_mean_beta: Array1<f64>,
    pub prior_cov_beta: Array2<f64>,
    pub priorshape_tau: f64,
    pub prior_rate_tau: f64,
    pub n_features: usize,
    pub fit_intercept: bool,
}
Expand description

Mean-field variational inference for Bayesian linear regression

Approximates the posterior with a factorized normal distribution: q(beta, tau) = q(beta)q(tau) where q(beta) ~ N(mu_beta, Sigma_beta) and q(tau) ~ Gamma(a_tau, b_tau)

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§mean_beta: Array1<f64>

Variational mean for coefficients

§cov_beta: Array2<f64>

Variational covariance for coefficients

§shape_tau: f64

Variational shape parameter for precision

§rate_tau: f64

Variational rate parameter for precision

§prior_mean_beta: Array1<f64>

Prior parameters

§prior_cov_beta: Array2<f64>§priorshape_tau: f64§prior_rate_tau: f64§n_features: usize

Model dimensionality

§fit_intercept: bool

Whether to fit intercept

Implementations§

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impl VariationalBayesianRegression

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pub fn new(n_features: usize, fit_intercept: bool) -> Result<Self>

Create a new variational Bayesian regression model

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pub fn with_priors( self, prior_mean_beta: Array1<f64>, prior_cov_beta: Array2<f64>, priorshape_tau: f64, prior_rate_tau: f64, ) -> Result<Self>

Set custom priors

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pub fn fit( &mut self, x: ArrayView2<'_, f64>, y: ArrayView1<'_, f64>, max_iter: usize, tol: f64, ) -> Result<VariationalRegressionResult>

Fit the model using coordinate ascent variational inference

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pub fn predict( &self, x: ArrayView2<'_, f64>, result: &VariationalRegressionResult, ) -> Result<VariationalPredictionResult>

Predict on new data

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impl Clone for VariationalBayesianRegression

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fn clone(&self) -> VariationalBayesianRegression

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for VariationalBayesianRegression

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

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