Mean-field Variational Bayes for Sparse Probit Regression
arXiv:2601.21765v1 Announce Type: cross Abstract: We consider Bayesian variable selection for binary outcomes under a probit link with a spike-and-slab prior on the regression coefficients. Motivated by the computational challenges encountered by Markov chain Monte Carlo (MCMC) samplers in high-dimensional regimes, we develop a mean-field variational Bayes approximation in which all variational factors admit closed-form updates, and the evidence lower bound is available in closed form. This, in turn, allows the development of an efficient coordinate ascent variational […]