I’ve decided to maintain a wishlist of things I’d like to work on whenever my
interest peaks. Clearly, this is a weakly organized scratchpad.

# Theory

These are works that I’ve only glossed over and never delved deeper. Sometime
in the future, I’d like to understand them better.

### Gaussian Processes

GP priors are unusually interesting. They lead to smooth interpolators with
uncertainty estimates. Some parts of the inference are *embarrasingly*
parallelizable. See references
for my readings.

### Kernels

Kernels can be applied to almost any kind of data and provide a notion of
“similarity”. The famous Representer Theorem and its generalizations provide a
powerful list of results, many of which I don’t fully understand. See references
for my readings.

### MCMC Diagnostics

There’s a comically truthful idea This is the idea behind
Importance Sampling

any sample can come from any distribution

How do we evaluate goodness-of-fit? How do we ascribe samples belong to a
particular distribution? These are very interesting and hard questions. See
reference for my readings.

### Statistical Learning Theory

For this topic, I don’t have a particularly defined scope. My primary qualm with
most treatment on this topic is the reliance on plenty of obscure sounding
inqualities (except for a few popular ones like *Markov’s*,
*Hoeffding’s*, *Chebychev’s*, *Azuma’s*). Often times, I think this is more of
an art of posing the question **what to put a bound on?** and then put out
some results in terms of a function of error tolerance $\epsilon$
and confidence $\delta$. I might have a myopic view on this and still looking
for big-picture treatment. See references for my readings. I’m looking for a general
attack recipe for such kind of bounds analysis.

# Questions

Most of these are gaps in my knowledge. Looking for resources and perspectives
to improve my understanding. I hope to summarize answers to these as blog posts.

To my knowledge, there is no way to prove convergence in MCMC sampling
algorithms. All we have are diagnostics like *Effective Sample Size* and
*Gelman-Rubin Diagnostic* to show chains have diverged. What is the
recommended way to verify convergence?

How do we scale Gaussian Processes to large data? Matrix computations involve
operations of the order of \( O(N^3) \). Isn’t this terribly slow?