The Zig-Zag process and super-efficient sampling for Bayesian analysis of big data
Zig-Zag 过程与大数据贝叶斯分析的超高效抽样
Standard MCMC methods can scale poorly to big data settings due to the need to evaluate the likelihood at each iteration. There have been a number of approximate MCMC algorithms that use sub-sampling ideas to reduce this computational burden, but with the drawback that these algorithms no longer target the true posterior distribution. We introduce a new family of Monte Carlo methods based upon a multidimensional version of the Zig-Zag process of [Ann. Appl. Probab. 27 (2017)…