Скачать или смотреть Dr. Steven Scott | Comparing Consensus Monte Carlo Strategies for Distributed Bayesian Computation

Speaker: Dr Steven Scott (Google)
Date: 4th Jul 2017 - 11:00 to 11:45
Venue: INI Seminar Room 1
Title: Comparing Consensus Monte Carlo Strategies for Distributed Bayesian Computation
Event: (SINW01) Scalable statistical inference
Abstract: Consensus Monte Carlo is an algorithm for conducting Monte Carlo based Bayesian inference on large data sets distributed across many worker machines in a data center. The algorithm operates by running a separate Monte Carlo algorithm on each worker machine, which only sees a portion of the full data set. The worker-level posterior samples are then combined to form a Monte Carlo approximation to the full posterior distribution based on the complete data set. We compare several methods of carrying out the combination, including a new method based on approximating worker-level simulations using a mixture of multivariate Gaussian distributions. We find that resampling and kernel density based methods break down after 10 or sometimes fewer dimensions, while the new mixture-based approach works well, but the necessary mixture models take too long to fit.

-------------------

FOLLOW US
🌐| Website: https://www.newton.ac.uk
🎥| Main Channel:    / @isaacnewtoninstitute  
🐦| Twitter:   / newtoninstitute  
💬| Facebook:   / newton.institute  
📷| Instagram:   / isaacnewtoninstitute  
🔗| LinkedIn:   / isaac-newton-institute-for-mathematical-sc...  

SEMINAR ROOMS
🥇| INI Seminar Room 1:    / @iniseminarroom1  
🥈| INI Seminar Room 2:    / @iniseminarroom2  
🛰️| INI Satellite Events:    / @inisatellite  

ABOUT
The Isaac Newton Institute is a national and international visitor research institute. It runs research programmes on selected themes in mathematics and the mathematical sciences with applications over a wide range of science and technology. It attracts leading mathematical scientists from the UK and overseas to interact in research over an extended period.

👉 Learn more about us and our events here: https://www.newton.ac.uk