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Bayesian estimation of the Dirichlet distribution with expectation propagation
KTH, School of Electrical Engineering (EES), Sound and Image Processing.
2012 (English)In: Signal Processing Conference (EUSIPCO), 2012 Proceedings of the 20th European, IEEE Computer Society, 2012, 689-693 p.Conference paper (Refereed)
Abstract [en]

As a member of the exponential family, the Dirichlet distribution has its conjugate prior. However, since the posterior distribution is difficult to use in practical problems, Bayesian estimation of the Dirichlet distribution, in general, is not analytically tractable. To derive practically easily used prior and posterior distributions, some approximations are required to approximate both the prior and the posterior distributions so that the conjugate match between the prior and posterior distributions holds and the obtained posterior distribution is easy to be employed. To this end, we approximate the distribution of the parameters in the Dirichlet distribution by a multivariate Gaussian distribution, based on the expectation propagation (EP) framework. The EP-based method captures the correlations among the parameters and provides an easily used prior/posterior distribution. Compared to recently proposed Bayesian estimation based on the variation inference (VI) framework, the EP-based method performs better with a smaller amount of observed data and is more stable.

Place, publisher, year, edition, pages
IEEE Computer Society, 2012. 689-693 p.
, European Signal Proceedings Conference, ISSN 2076-1465
Keyword [en]
Bayesian estimation, Dirichlet distribution, Expectation Propagation, Variational Inference
National Category
Other Electrical Engineering, Electronic Engineering, Information Engineering Signal Processing
URN: urn:nbn:se:kth:diva-97279ISI: 000310623800139ScopusID: 2-s2.0-84869769064ISBN: 978-146731068-0OAI: diva2:533336
20th European Signal Processing Conference, EUSIPCO 2012;Bucharest;27 August 2012 through 31 August 2012

QC 20121219

Available from: 2012-06-13 Created: 2012-06-13 Last updated: 2013-01-14Bibliographically approved

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Ma, Zhanyu
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ReferencesLink to record
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