Two-stage Metropolis-Hastings for tall data

DOI10.1007/S00357-018-9248-ZMaRDI QIDQ724596zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Richard D. Payne, Bani Mallick

Publication date 26 July 2018

Published in Journal of Classification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.5653, http://europepmc.org/articles/pmc6166660

zbMATH Keywords

Markov chain Monte CarloBayesian inferenceMetropolis-Hastings algorithmlogistic modelBayesian multivariate adaptive regression splinestall data

Mathematics Subject Classification ID

Bayesian inference (62F15) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

Abstract: This paper discusses the challenges presented by tall data problems associated with Bayesian classification (specifically binary classification) and the existing methods to handle them. Current methods include parallelizing the likelihood, subsampling, and consensus Monte Carlo. A new method based on the two-stage Metropolis-Hastings algorithm is also proposed. The purpose of this algorithm is to reduce the exact likelihood computational cost in the tall data situation. In the first stage, a new proposal is tested by the approximate likelihood based model. The full likelihood based posterior computation will be conducted only if the proposal passes the first stage screening. Furthermore, this method can be adopted into the consensus Monte Carlo framework. The two-stage method is applied to logistic regression, hierarchical logistic regression, and Bayesian multivariate adaptive regression splines.

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Cited in

(6)

• scientific article; zbMATH DE number 6781368 (Why is no real title available?)
• Accelerating sequential Monte Carlo with surrogate likelihoods
• Speeding up MCMC by Delayed Acceptance and Data Subsampling
• A two-stage adaptive Metropolis algorithm
• Scalable Bayesian Nonparametric Clustering and Classification
• The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC

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