(ML 10) Baeysian linear regression

Linear regression is one of the most powerful general purpose tools.

Using MLE for ligression often leads to overfitting, which can be a sever problem.

Using MAP can solve the problem of overfitting, but we don’t have rpresentation of uncertainty in this case (not only in $w$ but in $y$).

Using Bayesian approach can optimize a appropriate loss function, and gives us the predictive distribution $p(y \vert x, D)$, which is what we really want.

Setup. Given data $D = ((x_1, y_1), \ldots, (x_n, y_n))$, $x_i \in \mathbb{R}^d$, $y_i \in \mathbb{R}$.

Model. $Y_1, \ldots, Y_n$ independent given $w$ with $Y_i \sim N(w^Tx_i, a^{-1})$, where $a = \frac{1}{\sigma^2} >0)$ is the precision and $w = (w_1, \ldots, w_d) \sim N(0, b^{-1}I)$ with $B >0$.
Assume $a, b$ are known and the parameter is given by $\theta = w$.

(ML 10.2) (ML 10.3) Posterior for linear regression

Remark. Can intoroduce nonlinearity (in $x$) by replacing $x_i$ by $\varphi(x_i) = (\varphi_1(x_i), \ldots, \varphi_m(x_i))$.


(ML 10.4~7) Predictive distribution for linear regression