A Variational Spike-and-Slab Approach for Group Variable Selection

Abstract: We introduce a class of generic spike-and-slab priors for high-dimensional linear regression with grouped variables and present a Coordinate-ascent Variational Inference (CAVI) algorithm for obtaining an optimal variational Bayes approximation. Using parameter expansion for a specific, yet comprehensive, family of slab distributions, we obtain a further gain in computational efficiency. The method can be easily extended to fitting additive models. Theoretically, we present general conditions on the generic spike-and-slab priors that enable us to derive the contraction rates for both the true posterior and the VB posterior for linear regression and additive models, of which some previous theoretical results can be viewed as special cases. Our simulation studies and real data application demonstrate that the proposed method is superior to existing methods in both variable selection and parameter estimation. Our algorithm is implemented in the R package GVSSB.