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多候选马尔可夫链蒙特卡洛算法的基本局限AI 解读

Summary We study multi-proposal Markov chain Monte Carlo algorithms, such as multiple-try or generalized Metropolis–Hastings schemes, which have recently received renewed attention due to their amenability to parallel computing. First, we prove that no multi-proposal scheme can speed up convergence relative to the corresponding single-proposal scheme by more than a factor of $ K $, where $ K $ denotes the number of proposals at each iteration. This result applies to…

高维混合模型的部分因子化变分推断AI 解读

Summary While generalized linear mixed models are a fundamental tool in applied statistics, many specifications, such as those involving categorical factors with many levels or interaction terms, can be computationally challenging to estimate due to the need to compute or approximate high-dimensional integrals. Variational inference is a popular way to perform such computations, especially in the Bayesian context. However, naive use of such methods can provide unreliable…

Dirichlet 过程混合模型的聚类一致性AI 解读

Summary Dirichlet process mixtures are flexible nonparametric models, particularly suited to density estimation and probabilistic clustering. In this work we study the posterior distribution induced by Dirichlet process mixtures as the sample size increases, and more specifically focus on consistency for the unknown number of clusters when the observed data are generated from a finite mixture. Crucially, we consider the situation where a prior is placed on the concentration…

交叉随机效应模型的可扩展推断AI 解读

Summary We develop methodology and complexity theory for Markov chain Monte Carlo algorithms used in inference for crossed random effects models in modern analysis of variance. We consider a plain Gibbs sampler and propose a simple modification, referred to as a collapsed Gibbs sampler. Under some balancedness conditions on the data designs and assuming that precision hyperparameters are known, we demonstrate that the plain Gibbs sampler is not scalable, in the sense that…

期望乘积的无偏近似AI 解读

Summary We consider the problem of approximating the product of $n$ expectations with respect to a common probability distribution $\mu$. Such products routinely arise in statistics as values of the likelihood in latent variable models. Motivated by pseudo-marginal Markov chain Monte Carlo schemes, we focus on unbiased estimators of such products. The standard approach is to sample $N$ particles from $\mu$ and assign each particle to one of the expectations; this is wasteful…