Scalable Bayesian bi-level variable selection in generalized linear models
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Motivated by a real-world application in cardiology, we develop an algorithm to perform Bayesian bi-level variable selection in a generalized linear model, for datasets that may be large both in terms of the number of individuals and the number of predictors. Our algorithm relies on the waste-free SMC Sequential Monte Carlo methodology of Dau and Chopin (2022), a new proposal mechanism to deal with the constraints specific to bi-level selection (which forbid to select an individual predictor if its group is not selected), and the ALA (approximate Laplace approximation) approach of Rossell et al. (2021). We show in our numerical study that the algorithm may offer reliable performance on large datasets within a few minutes, on both simulated data and real data related to the aforementioned cardiology application.
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