Truncated Random Measures
Completely random measures (CRMs) and their normalizations are a rich source of Bayesian nonparametric priors. Examples include the beta, gamma, and Dirichlet processes. In this paper we detail two major classes of sequential CRM representations—series representations and superposition representations—within which we organize both novel and existing sequential representations that can be used for simulation and posterior inference. These two classes and their constituent representations subsume existing ones that have previously been developed in an ad hoc manner for specific processes. Since a complete infinite-dimensional CRM cannot be used explicitly for computation, sequential representations are often truncated for tractability. We provide truncation error analyses for each type of sequential representation, as well as their normalized versions, thereby generalizing and improving upon existing truncation error bounds in the literature. We analyze the computational complexity of the sequential representations, which in conjunction with our error bounds allows us to directly compare representations and discuss their relative efficiency. We include numerous applications of our theoretical results to commonly-used (normalized) CRMs, demonstrating that our results enable a straightforward representation and analysis of CRMs that has not previously been available in a Bayesian nonparametric context.
intro \subfilebackground \subfilesequentialcrms \subfiletruncation \subfilenormalization \subfilesampling \subfilesummary \subfilediscussion
The authors thank the anonymous reviewers for their thoughtful comments, which led to substantial improvements in both the presentation and content of the paper. The authors also thank Tin Nguyen for pointing out a flaw in the proof of a result appearing in a preprint draft of the paper. All authors are supported by the Office of Naval Research under MURI grant N000141110688. J. Huggins is supported by the U.S. Government under FA9550-11-C-0028 and awarded by the DoD, Air Force Office of Scientific Research, National Defense Science and Engineering Graduate (NDSEG) Fellowship, 32 CFR 168a. T. Campbell and T. Broderick are supported by DARPA award FA8750-17-2-0019.
examples \subfiletechnicalresults \subfilesequentialproofs \subfiletruncproofs \subfilenormproofs
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