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Stochastic gradient monomial gamma sampler

Publication ,  Journal Article
Zhang, Y; Chen, C; Gan, Z; Henao, R; Carin, L
Published in: 34th International Conference on Machine Learning, ICML 2017
January 1, 2017

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.

Duke Scholars

Published In

34th International Conference on Machine Learning, ICML 2017

Publication Date

January 1, 2017

Volume

8

Start / End Page

6083 / 6092
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Zhang, Y., Chen, C., Gan, Z., Henao, R., & Carin, L. (2017). Stochastic gradient monomial gamma sampler. 34th International Conference on Machine Learning, ICML 2017, 8, 6083–6092.
Zhang, Y., C. Chen, Z. Gan, R. Henao, and L. Carin. “Stochastic gradient monomial gamma sampler.” 34th International Conference on Machine Learning, ICML 2017 8 (January 1, 2017): 6083–92.
Zhang Y, Chen C, Gan Z, Henao R, Carin L. Stochastic gradient monomial gamma sampler. 34th International Conference on Machine Learning, ICML 2017. 2017 Jan 1;8:6083–92.
Zhang, Y., et al. “Stochastic gradient monomial gamma sampler.” 34th International Conference on Machine Learning, ICML 2017, vol. 8, Jan. 2017, pp. 6083–92.
Zhang Y, Chen C, Gan Z, Henao R, Carin L. Stochastic gradient monomial gamma sampler. 34th International Conference on Machine Learning, ICML 2017. 2017 Jan 1;8:6083–6092.

Published In

34th International Conference on Machine Learning, ICML 2017

Publication Date

January 1, 2017

Volume

8

Start / End Page

6083 / 6092