Hierarchical sparse modeling using Spike and Slab priors
Sparse modeling has demonstrated its superior performances in many applications. Compared to optimization based approaches, Bayesian sparse modeling generally provides a more sparse result with a knowledge of confidence. Using the Spike and Slab priors, we propose the hierarchical sparse models for the scenario of single task and multitask - Hi-BCS and CHi-BCS. We draw the connections of these two methods to their optimization based counterparts and use expectation propagation for inference. The experiment results using synthetic and real data demonstrate that the performance of Hi-BCS and Chi-BCS are comparable or better than their optimization based counterparts.