Bayesian non-parametrics and the probabilistic approach to modelling

Abstract

Modelling is fundamental to many fields of science and engineering. A model can be thought of as a representation of possible data one could predict from a system. The probabilistic approach to modelling uses probability theory to express all aspects of uncertainty in the model. The probabilistic approach is synonymous with Bayesian modelling, which simply uses the rules of probability theory in order to make predictions, compare alternative models, and learn model parameters and structure from data. This simple and elegant framework is most powerful when coupled with flexible probabilistic models. Flexibility is achieved through the use of Bayesian non-parametrics. This article provides an overview of probabilistic modelling and an accessible survey of some of the main tools in Bayesian nonparametrics. The survey covers the use of Bayesian non-parametrics for modelling unknown functions, density estimation, clustering, time-series modelling, and representing sparsity, hierarchies, and covariance structure. More specifically, it gives brief nontechnical overviews of Gaussian processes, Dirichlet processes, infinite hidden Markov models, Indian buffet processes, Kingman's coalescent, Dirichlet diffusion trees andWishart processes. © 2012 The Author(s) Published by the Royal Society. All rights reserved.