Mini-Batch Metropolis–Hastings With Reversible SGLD Proposal
采用可逆 SGLD 提议的小批量 Metropolis–Hastings 方法
Traditional Markov chain Monte Carlo (MCMC) algorithms are computationally intensive and do not scale well to large data. In particular, the Metropolis–Hastings (MH) algorithm requires passing over the entire dataset to evaluate the likelihood ratio in each iteration. We propose a general framework for performing MH-MCMC using mini-batches of the whole dataset and show that this gives rise to approximately a tempered stationary distribution. We prove that the algorithm…