Parallelising MCMC via Random Forests - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2019

Parallelising MCMC via Random Forests

Wu Changye
  • Fonction : Auteur
Christian P. Robert

Résumé

For Bayesian computation in big data contexts, the divide-and-conquer MCMC concept splits the whole data set into batches, runs MCMC algorithms separately over each batch to produce samples of parameters, and combines them to produce an approximation of the target distribution. In this article, we embed random forests into this framework and use each subposterior/partial-posterior as a proposal distribution to implement importance sampling. Unlike the existing divide-and-conquer MCMC, our methods are based on scaled subposteriors, whose scale factors are not necessarily restricted to being equal to one or to the number of subsets. Through several experiments, we show that our methods work well with models ranging from Gaussian cases to strongly non-Gaussian cases, and include model misspecification.

Dates et versions

hal-02393276 , version 1 (04-12-2019)

Identifiants

Citer

Wu Changye, Christian P. Robert. Parallelising MCMC via Random Forests. 2019. ⟨hal-02393276⟩
31 Consultations
0 Téléchargements

Altmetric

Partager

More