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采用可扩展子采样的 Metropolis–Hastings 算法AI 解读

The Metropolis–Hastings (MH) algorithm is one of the most widely used Markov Chain Monte Carlo schemes for generating samples from Bayesian posterior distributions. The algorithm is asymptotically exact, flexible and easy to implement. However, in the context of Bayesian inference for large datasets, evaluating the likelihood on the full data for thousands of iterations until convergence can be prohibitively expensive. This paper introduces a new subsample MH algorithm that…

超图数据的潜在空间建模AI 解读

The increasing prevalence of relational data describing interactions among a target population has motivated a wide literature on statistical network analysis.In many applications, interactions may involve more than two members of the population and this data is more appropriately represented by a hypergraph.In this article, we present a model for hypergraph data that extends the well-established latent space approach for graphs and, by drawing a connection to constructs…

随机梯度马尔可夫链蒙特卡洛AI 解读

Markov chain Monte Carlo (MCMC) algorithms are generally regarded as the gold standard technique for Bayesian inference. They are theoretically well-understood and conceptually simple to apply in practice. The drawback of MCMC is that performing exact inference generally requires all of the data to be processed at each iteration of the algorithm. For large datasets, the computational cost of MCMC can be prohibitive, which has led to recent developments in scalable Monte…

粒子 Metropolis 校正 Langevin 算法AI 解读

In this paper we propose a new sampling scheme based on Langevin dynamics that is applicable in pseudo-marginal and particle Markov chain Monte Carlo algorithms. We investigate the algorithm's theoretical properties under standard asymptotics, which correspond to an increasing dimension |$n$| of the parameters. Our results show that the behaviour of the algorithm depends crucially on how accurately one can estimate the gradient of the log target density. If the error in the…