Statistics

   

Compressed Monte Carlo for Distributed Bayesian Inference

Authors: L. Martino, V. Elvira

Bayesian models have become very popular over the last years in several fields such as statistics, signal processing, and machine learning. Bayesian inference needs the approximation of complicated integrals involving the posterior distribution. For this purpose, Monte Carlo (MC) methods such as Markov Chain Monte Carlo (MCMC) and Importance Sampling (IS) algorithms, are often employed. In this work, we introduce a compressed MC (C-MC) scheme in order to compress the information obtained previously by MC sampling. The basic C-MC version is based on the stratification technique, well-known for variance reduction purposes. Deterministic C-MC schemes are also presented, which provide very good performance. The compression problem is strictly related to moment matching approach applied in different filtering methods, often known as Gaussian quadrature rules or sigma-point methods. The connections to herding algorithms and quasi-Monte Carlo perspective are also discussed. C-MC is particularly useful in a distributed Bayesian inference framework, when cheap and fast communications with a central processor are required. Numerical results confirm the benefit of the introduced schemes, outperforming the corresponding benchmark methods.

Comments: 16 Pages.

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Submission history

[v1] 2018-11-29 14:45:29

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