maximum a posteriori estimation

Definition

Let $x = (x_1,…,x_n)$ be i.i.d. realizations from probability mass function $p_X(t; \Theta = \theta)$ (if $X$ discrete), or from density $f_X(t; \Theta = \theta)$ (if $X$ continuous), where $\Theta$ is the random variable representing the parameter (or vector of parameters). We define the maximum a posteriori (MAP) estimator $\hat \theta_{MAP}$ of $\Theta$ to be the parameter which maximizes the posterior distribution of $\Theta$ given the data.

\hat \theta_{MAP} = \arg \max_{\theta} L(\mathbf{x} | \theta) \pi_{\Theta}(\theta)

(same as maximum likelihood, except instead of maximizing likelihood, it is maximizing likelihood multiplied by prior)

where loss function $L(\mathbf{x} | \theta) = \prod_{i=1}^n f_X(x_i | \theta)$ for i.i.d. $f_X$ , (compare maximum likelihood estimation)

The estimate of $w$ , $\hat w$ , from the noisy observation $y$ , depending on the observed (noisy) value $y$ , is also denoted as $\hat w(y)$ . To obtain estimate $\hat w$ , we will use the maximum a posteriori (MAP) estimator. The MAP estimator is based on the probability density function (pdf) of $w$ . Specifically, given an observed value $y$ , the MAP estimator asks what value of $w$ is most likely?That is, the MAP estimator looks for the value of w where the probability of $w$ is highest; it looks for the peak value. Therefore, the MAP estimator is defined as

\hat w(y) = \arg \max_w p_{w|y}(w|y)

where ‘ $\arg \max$ ’ is the value of the argument where the function has its maximum. The pdf $p_{w|y} (w|y)$ is the distribution of $w$ given a specific value $y$ , where,

p_{w|y}(w|y) = \frac{p_{w,v}(w,y)}{p_y(y)}

(The MAP estimate $\hat w$ is the point where the pdf of $p_{w|y} (w|y)$ for some value of $y$ has its peak)

#incomplete

Soft thresholding softmax

maximum a posteriori estimation

Definition

See also

References: