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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorRobert, Christian P.
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorWu, Changye
dc.date.accessioned2019-04-23T11:11:44Z
dc.date.available2019-04-23T11:11:44Z
dc.date.issued2017
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18741
dc.language.isoenen
dc.subjectMCMCen
dc.subjectbig dataen
dc.subject.ddc621.3en
dc.titleAverage of Recentered Parallel MCMC for Big Dataen
dc.typeDocument de travail / Working paper
dc.description.abstractenIn big data context, traditional MCMC methods, such as Metropolis-Hastings algorithms and hybrid Monte Carlo, scale poorly because of their need to evaluate the likelihood over the whole data set at each iteration. In order to resurrect MCMC methods, numerous approaches belonging to two categories: divide-and-conquer and subsampling, are proposed. In this article, we study the parallel MCMC and propose a new combination method in the divide-and-conquer framework. Compared with some parallel MCMC methods, such as consensus Monte Carlo, Weierstrass Sampler, instead of sampling from subposteriors, our method runs MCMC on rescaled subposteriors, but share the same computation cost in the parallel stage. We also give the mathematical justification of our method and show its performance in several models. Besides, even though our new methods is proposed in parametric framework, it can been applied to non-parametric cases without difficulty.en
dc.publisher.cityParisen
dc.identifier.citationpages14en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.subject.ddclabelTraitement du signalen
dc.identifier.citationdate2017
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-03-26T13:18:06Z
hal.author.functionaut
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