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Austerity in MCMC Land: Cutting the Metropolis-Hastings Budget

Anoop Korattikara, Yutian Chen, Max Welling
Proceedings of The 31st International Conference on Machine Learning, pp. 181–189, 2014

Abstract

Can we make Bayesian posterior MCMC sampling more efficient when faced with very large datasets? We argue that computing the likelihood for N datapoints in the Metropolis-Hastings (MH) test to reach a single binary decision is computationally inefficient. We introduce an approximate MH rule based on a sequential hypothesis test that allows us to accept or reject samples with high confidence using only a fraction of the data required for the exact MH rule. While this method introduces an asymptotic bias, we show that this bias can be controlled and is more than offset by a decrease in variance due to our ability to draw more samples per unit of time.

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