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Jun, 2020
渐进最优的精确小批量Metropolis-Hastings
Asymptotically Optimal Exact Minibatch Metropolis-Hastings
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Ruqi Zhang, A. Feder Cooper, Christopher De Sa
TL;DR
本文提出了一种新的精确小批量 MH 方法TunaMH,通过调节批大小与收敛速度之间的权衡来提高效率,并在鲁棒线性回归、截尾高斯混合以及逻辑回归中验证了 TunaMH 的优越性。
Abstract
metropolis-hastings
(MH) is a commonly-used
mcmc
algorithm, but it can be intractable on large datasets due to requiring computations over the whole dataset. In this paper, we study \emph{minibatch MH} methods, w
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