Stochastic gradient monomial gamma sampler

Yizhe Zhang, Changyou Chen, Zhe Gan, Ricardo Henao, Lawrence Carin

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations

Abstract

Recent advances in stochastic gradient techniques have made it possible to estimate posterior distributions from large datasets via Markov Chain Monte Carlo (MCMC). However, when the target posterior is multimodal, mixing performance is often poor. This results in inadequate exploration of the posterior distribution. A framework is proposed to improve the sampling efficiency of stochastic gradient MCMC, based on Hamiltonian Monte Carlo. A generalized kinetic function is leveraged, delivering superior stationary mixing, especially for multimodal distributions. Techniques are also discussed to overcome the practical issues introduced by this generalization. It is shown that the proposed approach is better at exploring complex multimodal posterior distributions, as demonstrated on multiple applications and in comparison with other stochastic gradient MCMC methods.
Original languageEnglish (US)
Title of host publication34th International Conference on Machine Learning, ICML 2017
PublisherInternational Machine Learning Society (IMLS)rasmussen@ptd.net
Pages6083-6092
Number of pages10
ISBN (Print)9781510855144
StatePublished - Jan 1 2017
Externally publishedYes

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