Control variates for stochastic gradient MCMC

DOI10.1007/s11222-018-9826-2zbMath1430.62265arXiv1706.05439OpenAlexW2962760547MaRDI QIDQ2329787

Paul Fearnhead, Christopher Nemeth, Jack Baker, Emily B. Fox

Publication date: 18 October 2019

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

Full work available at URL: https://arxiv.org/abs/1706.05439

zbMATH Keywords

Langevin dynamicsbig datacomputational costcontrol variatesstochastic gradient MCMCscalable MCMC

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Statistical aspects of big data and data science (62R07)

Related Items (14)

Parallel Markov chain Monte Carlo for Bayesian hierarchical models with big data, in two stages ⋮ Unnamed Item ⋮ Nonasymptotic bounds for sampling algorithms without log-concavity ⋮ On sampling from a log-concave density using kinetic Langevin diffusions ⋮ Adaptive step size rules for stochastic optimization in large-scale learning ⋮ Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization ⋮ Improving sampling accuracy of stochastic gradient MCMC methods via non-uniform subsampling of gradients ⋮ Multi-index antithetic stochastic gradient algorithm ⋮ Efficient and generalizable tuning strategies for stochastic gradient MCMC ⋮ Optimal friction matrix for underdamped Langevin sampling ⋮ Unnamed Item ⋮ Variance Reduction for Dependent Sequences with Applications to Stochastic Gradient MCMC ⋮ Stochastic Gradient Markov Chain Monte Carlo ⋮ Stochastic Gradient MCMC for State Space Models

Uses Software

• sgmcmc
• Edward

Cites Work

• Zero variance Markov chain Monte Carlo for Bayesian estimators
• The Zig-Zag Process and Super-Efficient Sampling for Bayesian Analysis of Big Data
• Exploiting multi-core architectures for reduced-variance estimation with intractable likelihoods
• Zero variance differential geometric Markov chain Monte Carlo algorithms
• Exponential convergence of Langevin distributions and their discrete approximations
• User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient
• High-dimensional Bayesian inference via the unadjusted Langevin algorithm
• (Non-) asymptotic properties of Stochastic Gradient Langevin Dynamics
• Large-Scale Machine Learning with Stochastic Gradient Descent
• Robust Stochastic Approximation Approach to Stochastic Programming
• 10.1162/jmlr.2003.3.4-5.993
• A Stochastic Approximation Method
• Unnamed Item
• Unnamed Item
• Unnamed Item

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