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Add timestamps for video 04 Aki Vehrati, Inference diagnostics (#30)
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### Reference
Towards #11
Closes #29

### Description
Adjusted auto-timestamps and added new ones
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bsenst authored Jul 10, 2022
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49 changes: 43 additions & 6 deletions videos-list/04-aki.md
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Expand Up @@ -13,12 +13,49 @@ Discourse Discussion
https://discourse.pymc.io/t/keynote-these-are-a-few-of-my-favorite-inference-diagnostics-by-aki-vehtari/6180
## Timestamps
- 0:00 Start of event
- x:xx
- x:xx
## Note: help us add timestamps here
https://github.com/pymc-devs/video-timestamps
00:00 Introduction by Aki
00:22 Outline of the talk
00:48 Run inference many times
01:27 MCMC warm-up and convergence diagnostics
03:10 It is good to run several chains
03:49 Trace plots & convergence
04:24 Convergence in worm plots
04:53 Converge vs not converge
05:10 R-hat for MCMC convergence diagnostics
06:36 R-hat compares within and total variances - 50 warmup, 50 post warmup iterations
08:34 Running more - 500 warmup, 500 post warmup iterations
09:06 5000 warmup, 5000 post warmup iterations
09:50 Total variance and within chain variance
10:47 Overview versions of R-hat
12:42 R-hat versions 1-4
14:13 R-hat v1-v4 vs v5
15:10 R-hat v5: Rank normalization and folding
18:14 Effective sample size and Monte Carlo error
21:55 Local effective sample size (ESS)
24:43 Bulk-ESS and Tail-ESS
26:50 Rank plots
27:52 Traces vs. Rank plots
28:22 Uniformity check?
29:41 ECDF and ECDF difference
32:20 ECDF difference envelope for multiple chains
32:42 R* multivariate diagnostic
34:45 MCMC convergence and accuracy diagnostics
35:08 Variational inference (VI) convergence diagnostics
37:31 Convergence diagnostic for VI optimization
41:24 Split-R-hat
42:59 VI accuracy diagnostics
43:46 Importance sampling (IS)
45:24 Importance function
47:08 Example: normal approximation at the mode
51:13 Effective sample size for importance sampling
53:16 Pareto smoothed importance sampling
54:08 ESS and MCSE for importance sampling
54:39 Pareto k-hat diagnostic for VI
55:36 VI convergence and accuracy diagnostics
56:04 Stacking for non-mixing Bayesian computations
57:48 Favorite inference diagnostics
58:28 References
58:38 Software references
Speaker bio:
Aki is an Associate professor in computational probabilistic modeling at Aalto University, Finland.
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