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Research output: Contribution to conference - Without ISBN/ISSN › Conference paper › peer-review
Research output: Contribution to conference - Without ISBN/ISSN › Conference paper › peer-review
}
TY - CONF
T1 - Pseudo-extended Markov chain Monte Carlo
AU - Nemeth, Christopher
AU - Lindsten, Fredrik
AU - Filippone, Maurizio
AU - Hensman, James
PY - 2019/12/8
Y1 - 2019/12/8
N2 - Sampling from posterior distributions using Markov chain Monte Carlo (MCMC) methods can require an exhaustive number of iterations, particularly when the posterior is multi-modal as the MCMC sampler can become trapped in a local mode for a large number of iterations. In this paper, we introduce the seudoextended MCMC method as a simple approach for improving the mixing of the MCMC sampler for multi-modal posterior distributions. The pseudo-extended method augments the state-space of the posterior using pseudo-samples as auxiliary variables. On the extended space, the modes of the posterior are connected, which allows the MCMC sampler to easily move between well-separated posterior modes. We demonstrate that the pseudo-extended approach delivers improved MCMC sampling over the Hamiltonian Monte Carlo algorithm on multi-modal posteriors, including Boltzmann machines and models with sparsity-inducing priors.
AB - Sampling from posterior distributions using Markov chain Monte Carlo (MCMC) methods can require an exhaustive number of iterations, particularly when the posterior is multi-modal as the MCMC sampler can become trapped in a local mode for a large number of iterations. In this paper, we introduce the seudoextended MCMC method as a simple approach for improving the mixing of the MCMC sampler for multi-modal posterior distributions. The pseudo-extended method augments the state-space of the posterior using pseudo-samples as auxiliary variables. On the extended space, the modes of the posterior are connected, which allows the MCMC sampler to easily move between well-separated posterior modes. We demonstrate that the pseudo-extended approach delivers improved MCMC sampling over the Hamiltonian Monte Carlo algorithm on multi-modal posteriors, including Boltzmann machines and models with sparsity-inducing priors.
KW - stat.ME
KW - stat.CO
KW - stat.ML
M3 - Conference paper
SP - 1
EP - 11
T2 - Thirty-third Conference on Neural Information Processing Systems
Y2 - 8 December 2019 through 14 December 2019
ER -