Embarrassingly parallel MCMC using deep invertible transformations

Diego Mesquita, Paul Blomstedt, Samuel Kaski

Tutkimustuotos: Artikkeli kirjassa/konferenssijulkaisussaConference contributionScientificvertaisarvioitu

1 Sitaatiot (Scopus)
16 Lataukset (Pure)

Abstrakti

While MCMC methods have become a main work-horse for Bayesian inference, scaling them to large distributed datasets is still a challenge. Embarrassingly parallel MCMC strategies take a divide-and-conquer stance to achieve this by writing the target posterior as a product of subposteriors, running MCMC for each of them in parallel and subsequently combining the results. The challenge then lies in devising efficient aggregation strategies. Current strategies tradeoff between approximation quality, and costs of communication and computation. In this work, we introduce a novel method that addresses these issues simultaneously. Our key insight is to introduce a deep invertible transformation to approximate each of the subposteriors. These approximations can be made accurate even for complex distributions and serve as intermediate representations, keeping the total communication cost limited. Moreover, they enable us to sample from the product of the subposteriors using an efficient and stable importance sampling scheme. We demonstrate that the approach outperforms available state-of-the-art methods in a range of challenging scenarios, including high-dimensional and heterogeneous subposteriors.

AlkuperäiskieliEnglanti
OtsikkoProceedings of The 35th Uncertainty in Artificial Intelligence Conference
TilaJulkaistu - 2019
OKM-julkaisutyyppiA4 Artikkeli konferenssijulkaisuussa
TapahtumaConference on Uncertainty in Artificial Intelligence - Tel Aviv, Israel
Kesto: 22 heinäkuuta 201925 heinäkuuta 2019
Konferenssinumero: 35

Julkaisusarja

NimiProceedings of Machine Learning Research
KustantajaPMLR
Vuosikerta115
ISSN (elektroninen)1938-7228

Conference

ConferenceConference on Uncertainty in Artificial Intelligence
LyhennettäUAI
Maa/AlueIsrael
KaupunkiTel Aviv
Ajanjakso22/07/201925/07/2019

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