Combined inference for heterogeneous high-dimensional data is critical in
modern biology, where clinical and various kinds of molecular data may be
available from a single study. Classical genetic association studies regress a
single clinical outcome on many genetic variants one by one, but there is an
increasing demand for joint analysis of many molecular outcomes and genetic
variants in order to unravel functional interactions. Unfortunately, most
existing approaches to joint modelling are either too simplistic to be powerful
or are impracticable for computational reasons. Inspired by Richardson et al.
(2010, Bayesian Statistics 9), we consider a sparse multivariate regression
model that allows simultaneous selection of predictors and associated
responses. As Markov chain Monte Carlo (MCMC) inference on such models can be
prohibitively slow when the number of genetic variants exceeds a few thousand,
we propose a variational inference approach which produces posterior
information very close to that of MCMC inference, at a much reduced
computational cost. Extensive numerical experiments show that our approach
outperforms popular variable selection methods and tailored Bayesian
procedures, dealing within hours with problems involving hundreds of thousands
of genetic variants and tens to hundreds of clinical or molecular outcomes