Control variates for stochastic gradient MCMC
نویسندگان
چکیده
منابع مشابه
Control Variates for Stochastic Gradient MCMC
It is well known that Markov chain Monte Carlo (MCMC) methods scale poorly with dataset size. We compare the performance of two classes of methods which aim to solve this issue: stochastic gradient MCMC (SGMCMC), and divide and conquer methods. We find an SGMCMC method, stochastic gradient Langevin dynamics (SGLD) to be the most robust in these comparisons. This method makes use of a noisy esti...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2018
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-018-9826-2