GPU-accelerated Gibbs sampling: a case study of the horseshoe probit model

DOI10.1007/s11222-018-9809-3zbMath1430.62172arXiv1608.04329OpenAlexW2752488889WikidataQ130106055 ScholiaQ130106055MaRDI QIDQ2329768

Shawfeng Dong, Alexander Terenin, David Draper

Publication date: 18 October 2019

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.04329

zbMATH Keywords

Markov chain Monte Carloparallel computingbig datagraphics processing unitsBayesian generalized linear modelshigh-dimensional statistical modeling

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Monte Carlo methods (65C05) Graphical methods in statistics (62A09) Statistical aspects of big data and data science (62R07)

Related Items (8)

Contraction of a quasi-Bayesian model with shrinkage priors in precision matrix estimation ⋮ Horseshoe Regularisation for Machine Learning in Complex and Deep Models¹ ⋮ Vector operations for accelerating expensive Bayesian computations - a tutorial guide ⋮ Comment: A brief survey of the current state of play for Bayesian computation in data science at big-data scale ⋮ Discussion ⋮ Tree ensembles with rule structured horseshoe regularization ⋮ Lasso meets horseshoe: a survey ⋮ A simple method for rejection sampling efficiency improvement on SIMT architectures

Uses Software

• R
• S-PLUS
• CUDA
• MASS (R)
• MersenneTwister
• OpenCL
• TestU01
• TensorFlow
• PyTorch
• Spark
• Vowpal Wabbit
• NUTS

Cites Work

• The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
• Leave Pima Indians alone: binary regression as a benchmark for Bayesian computation
• Statistical Analysis of Financial Data in S-Plus
• Sparse Partially Collapsed MCMC for Parallel Inference in Topic Models
• TestU01
• The horseshoe estimator for sparse signals
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Mersenne twister
• 10.1162/jmlr.2003.3.4-5.993
• Equation of State Calculations by Fast Computing Machines
• Bayesian Analysis of Binary and Polychotomous Response Data
• Monte Carlo sampling methods using Markov chains and their applications
• Teaching Statistics at Google-Scale
• A note on geometric ergodicity and floating-point roundoff error

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