Scalable Monte Carlo for Bayesian learning

DOI10.1017/9781009288460MaRDI QIDQ6978514zbMATH OpenFDO

Authors Paul Fearnhead, Christopher Nemeth, Chris J. Oates, Chris Sherlock

Publication date 28 May 2025

Published in Institute of Mathematical Statistics Monographs (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/9781009288460

zbMATH Keywords

Bayesian learningMCMCscalable Monte Carlo

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Bayesian problems; characterization of Bayes procedures (62C10) Empirical decision procedures; empirical Bayes procedures (62C12) Statistical aspects of big data and data science (62R07)

Review text

``Scalable Monte Carlo for Bayesian learning by Fearnhead, Nemeth, Oates, and Sherlock offers a timely and graduate-level introduction to advanced Markov chain Monte Carlo (MCMC) methods, focusing on scalability for modern Bayesian computation. The book covers cutting-edge topics such as stochastic gradient MCMC, non-reversible algorithms, and continuous-time MCMC, with a strong emphasis on applications in machine learning and AI.\N\NThe writing is clear and accessible, prioritizing conceptual understanding over rigorous mathematical formalism, making it suitable for graduate students and researchers in statistics, machine learning, and data science. The authors are leading experts in computational statistics and probabilistic machine learning, lending strong credibility to the content.\N\NThis monograph is a valuable resource for anyone interested in implementing scalable Bayesian methods and will likely become a key reference in the field.

Cited in

(1)

• Theoretical guarantees for stochastic gradient Langevin dynamics

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