Appears in collection : Thematic month on statistics - Week 5: Bayesian statistics and algorithms / Mois thématique sur les statistiques - Semaine 5 : Semaine Bayésienne et algorithmes

The Expectation-Propagation algorithm was introduced by Minka in 2001, and is today still one of the most effective algorithms for approximate inference. It is relatively difficult to implement well but in certain cases it can give results that are almost exact, while being much faster than MCMC. In this course I will review EP and classical applications to Generalised Linear Models and Gaussian Process models. I will also introduce some recent developments, including applications of EP to ABC problems, and discuss how to parallelise EP effectively.