Orthogonal Polynomials Quadrature Algorithm (OPQA): A Functional Analytical Approach to Bayesian Inference. (arXiv:2211.08594v1 [cs.LG])

In this paper, we present the new Orthogonal Polynomials-Quadrature Algorithm
(OPQA), a parallelizable algorithm that estimates both the posterior and the
evidence in a Bayesian analysis in one pass by means of a functional analytic
approach. First, OPQA relates the evidence to an orthogonal projection onto a
special basis of our construct. Second, it lays out a fast and accurate
computational scheme to compute the transform coefficients.

OPQA can be summarized as follows. First, we consider the $L^2$ space
associated …

algorithm arxiv bayesian bayesian inference inference