Monte Carlo fusion

DOI10.1017/JPR.2019.12zbMATH Open1416.65017OpenAlexW2907420229MaRDI QIDQ4968517FDOQ4968517

Authors Hongsheng Dai, Murray Pollock, Gareth O. Roberts

Publication date 15 July 2019

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.00139

zbMATH Keywords

Monte CarlofusionLangevin diffusionfork-and-join

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: This paper proposes a new theory and methodology to tackle the problem of unifying distributed analyses and inferences on shared parameters from multiple sources, into a single coherent inference. This surprisingly challenging problem arises in many settings (for instance, expert elicitation, multi-view learning, distributed 'big data' problems etc.), but to-date the framework and methodology proposed in this paper (Monte Carlo Fusion) is the first general approach which avoids any form of approximation error in obtaining the unified inference. In this paper we focus on the key theoretical underpinnings of this new methodology, and simple (direct) Monte Carlo interpretations of the theory. There is considerable scope to tailor the theory introduced in this paper to particular application settings (such as the big data setting), construct efficient parallelised schemes, understand the approximation and computational efficiencies of other such unification paradigms, and explore new theoretical and methodological directions.

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Cited in

(6)

• Global Consensus Monte Carlo
• Monte Carlo fusion
• Comparing consensus Monte Carlo strategies for distributed Bayesian computation
• Emerging directions in Bayesian computation
• \(i\)Fusion: individualized fusion learning
• The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems

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