Tuesday, October 21, 2008

Laplace Approximation

Laplace approximation is a simple and popular method that approximates a probability density function p(z) by fitting a Gaussian distribution to the local quadratic expansion of p(z) around its mode where p'(z) vanishes. One important usage of this technique is to compute the integral of p(z). A good explanation of this method from David MacKay can be found here.

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