Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: LR-GLM: High-Dimensional Bayesian Inference Using Low-Rank Data
  Approximations   Due to the ease of modern data collection, applied statisticians often have
access to a large set of covariates that they wish to relate to some observed
outcome. Generalized linear models (GLMs) offer a particularly interpretable
framework for such an analysis. In these high-dimensional problems, the number
of covariates is often large relative to the number of observations, so we face
non-trivial inferential uncertainty; a Bayesian approach allows coherent
quantification of this uncertainty. Unfortunately, existing methods for
Bayesian inference in GLMs require running times roughly cubic in parameter
dimension, and so are limited to settings with at most tens of thousand
parameters. We propose to reduce time and memory costs with a low-rank
approximation of the data in an approach we call LR-GLM. When used with the
Laplace approximation or Markov chain Monte Carlo, LR-GLM provides a full
Bayesian posterior approximation and admits running times reduced by a full
factor of the parameter dimension. We rigorously establish the quality of our
approximation and show how the choice of rank allows a tunable
computational-statistical trade-off. Experiments support our theory and
demonstrate the efficacy of LR-GLM on real large-scale datasets.

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The categories of this paper are: physics
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The categories of this paper are: plasm-ph
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The categories of this paper are: funct-an
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The categories of this paper are: acc-phys
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The categories of this paper are: nucl-ex
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The categories of this paper are: quant-ph
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The categories of this paper are: gr-qc
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The categories of this paper are: eess
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The categories of this paper are: hep-lat
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The categories of this paper are: adap-org
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The categories of this paper are: comp-gas
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The categories of this paper are: bayes-an
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The categories of this paper are: patt-sol
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The categories of this paper are: q-bio
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The categories of this paper are: chem-ph
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The categories of this paper are: chao-dyn