Improving sampling accuracy of stochastic gradient MCMC methods via non-uniform subsampling of gradients
Publication:6160667
DOI10.3934/DCDSS.2021157zbMath1514.65008arXiv2002.08949OpenAlexW3007353463MaRDI QIDQ6160667
Molei Tao, Hongyuan Zha, Xin Wang, Ruilin Li
Publication date: 26 June 2023
Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.08949
bias-variance trade-offMCMC sampling and Bayesian inferencenon-uniform weighted stochastic gradientnonasymptotic sampling error boundtransition kernel matching
Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Stochastic programming (90C15) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Dynamical aspects of statistical mechanics (37A60)
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