Extended stochastic gradient Markov chain Monte Carlo for large-scale Bayesian variable selection

DOI10.1093/biomet/asaa029zbMath1457.62244arXiv2002.02919OpenAlexW3042887532MaRDI QIDQ5145711

Mao Ye, Yan Sun, Faming Liang, Qifan Song

Publication date: 21 January 2021

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.02919

zbMATH Keywords

missing datasubsamplingstochastic gradient Langevin dynamicsdimension jumping

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic approximation (62L20) Missing data (62D10)

Related Items (3)

A Stochastic Approximation-Langevinized Ensemble Kalman Filter Algorithm for State Space Models with Unknown Parameters ⋮ Reversible Jump PDMP Samplers for Variable Selection ⋮ Learning sparse deep neural networks with a spike-and-slab prior

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