Sam Vaughan samvaughan
samvaughan
/ sparse.py
Created
August 30, 2018 17:01
PyMC3 code to perform Sparse Bayes Regression (a translation of the Stan Code from https://betanalpha.github.io/assets/case_studies/bayes_sparse_regression.html)
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| import numpy as np | |
| import pymc3 as pm | |
| import matplotlib.pyplot as plt | |
| """ | |
| We have a situation where we have something we want to predict (y) and many variables y might depend on (200). We have 100 observations of each variable. We choose that y depends linearly on the data, with slope beta and offset alpha. Only some of the slopes are meaningful (different from 0).Can we recover these values of alpha and beta? | |
| A PyMC3 translation of the Stan code from https://betanalpha.github.io/assets/case_studies/bayes_sparse_regression.html | |
| """ |