Bayesian Posterior Sampling via Stochastic Gradient Fisher Scoring

@inproceedings{Ahn2012BayesianPS,
  title={Bayesian Posterior Sampling via Stochastic Gradient Fisher Scoring},
  author={Sungjin Ahn and Anoop Korattikara Balan and Max Welling},
  booktitle={ICML},
  year={2012}
}
In this paper we address the following question: “Can we approximately sample from a Bayesian posterior distribution if we are only allowed to touch a small mini-batch of data-items for every sample we generate?”. An algorithm based on the Langevin equation with stochastic gradients (SGLD) was previously proposed to solve this, but its mixing rate was slow. By leveraging the Bayesian Central Limit Theorem, we extend the SGLD algorithm so that at high mixing rates it will sample from a normal… CONTINUE READING
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