BDL.NET: Bayesian dictionary learning in Infer.NET

We introduce and analyse a flexible and efficient implementation of Bayesian dictionary learning for sparse coding. By placing Gaussian-inverse-Gamma hierarchical priors on the coefficients, the model can automatically determine the required sparsity level for good reconstructions, whilst also automatically learning the noise level in the data, obviating the need for heuristic methods for choosing sparsity levels. This model can be solved efficiently using Variational Message Passing (VMP), which we have implemented in the Infer.NET framework for probabilistic programming and inference. We analyse the properties of the model via empirical validation on several accelerometer datasets. We provide source code to replicate all of the experiments in this paper.