It is common practice to use Laplace approximations to decrease the computational burden when computing the marginal likelihoods in Bayesian versions of generalised linear models (GLM). Marginal likelihoods combined with model priors are then used in different search algorithms to compute the posterior marginal probabilities of models and individual covariates. This allows performing Bayesian model selection and model averaging. For large sample sizes, even the Laplace approximation becomes computationally challenging because the optimisation routine involved needs to evaluate the likelihood on the full dataset in multiple iterations. As a consequence, the algorithm is not scalable for large datasets. To address this problem, we suggest using stochastic optimisation approaches, which only use a subsample of the data for each iteration. We combine stochastic optimisation with Markov chain Monte Carlo (MCMC) based methods for Bayesian model selection and provide some theoretical results on the convergence of the estimates for the resulting time-inhomogeneous MCMC. Finally, we report results from experiments illustrating the performance of the proposed algorithm.

Regression models are used in a wide range of applications providing a powerful scientific tool for researchers from different fields. Linear, or simple parametric, models are often not sufficient to describe complex relationships between input variables and a response. Such relationships can be better described through flexible approaches such as neural networks, but this results in less interpretable models and potential overfitting. Alternatively, specific parametric nonlinear functions can be used, but the specification of such functions is in general complicated. In this paper, we introduce a flexible approach for the construction and selection of highly flexible nonlinear parametric regression models. Nonlinear features are generated hierarchically, similarly to deep learning, but have additional flexibility on the possible types of features to be considered. This flexibility, combined with variable selection, allows us to find a small set of important features and thereby more interpretable models. Within the space of possible functions, a Bayesian approach, introducing priors for functions based on their complexity, is considered. A genetically modi ed mode jumping Markov chain Monte Carlo algorithm is adopted to perform Bayesian inference and estimate posterior probabilities for model averaging. In various applications, we illustrate how our approach is used to obtain meaningful nonlinear models. Additionally, we compare its predictive performance with several machine learning algorithms.

MOTIVATION: Pairwise local sequence alignment is commonly used to search data bases for sequences related to some query sequence. Alignments are obtained using a scoring matrix that takes into account the different frequencies of occurrence of the various types of amino acid substitutions. Software like BLAST provides the user with a set of scoring matrices available to choose from, and in the literature it is sometimes recommended to try several scoring matrices on the sequences of interest. The significance of an alignment is usually assessed by looking at E-values and p-values. While sequence lengths and data base sizes enter the standard calculations of significance, it is much less common to take the use of several scoring matrices on the same sequences into account. Altschul proposed corrections of the p-value that account for the simultaneous use of an infinite number of PAM matrices. Here we consider the more realistic situation where the user may choose from a finite set of popular PAM and BLOSUM matrices, in particular the ones available in BLAST. It turns out that the significance of a result can be considerably overestimated, if a set of substitution matrices is used in an alignment problem and the most significant alignment is then quoted. RESULTS: Based on extensive simulations, we study the multiple testing problem that occurs when several scoring matrices for local sequence alignment are used. We consider a simple Bonferroni correction of the p-values and investigate its accuracy. Finally, we propose a more accurate correction based on extreme value distributions fitted to the maximum of the normalized scores obtained from different scoring matrices. For various sets of matrices we provide correction factors which can be easily applied to adjust p- and E-values reported by software packages.