Economics Research Seminar Series: Matt Wand

Streamlined Variational Inference for Random Effects Models. Prof. Matt Wand, UTS. 

Variational inference offers fast approximate inference for graphical models arising in computer science, statistics, and econometrics. However, for models containing random effects, the direct application of variational inference principles is not sufficient for fast inference due to the sizes of the relevant design matrices. We explain how the notion of matrix algebraic streamlining is crucial for making variational inference practical for models containing very high numbers of random effects. Both nested higher-level and crossed random effect structures are discussed.

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Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.