Austerity in MCMC Land: Cutting the Metropolis-Hastings Budget
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Austerity in MCMC Land: Cutting the Metropolis-Hastings Budget
A. Distribution of the test statistic In the sequential test, we first compute the test statistic from a mini-batch of size m. If a decision cannot be made with this statistic, we keep increasing the mini-batch size by m datapoints until we reach a decision. This procedure is guaranteed to terminate as explained in Section 4. The parameter ✏ controls the probability of making an error in a sing...
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