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Speeding up MCMC by Efficient Data Subsampling

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Advanced Monte Carlo Methods for Complex Inference Problems

Co-authors: Chris carter (University of New South wales ), Eduardo Mendes (University of New South wales )

The computing time for Markov Chain Monte Carlo (MCMC) algorithms can be prohibitively large for datasets with many observations, especially when the data density for each observation is costly to evaluate. We propose a framework based on a Pseudo-marginal MCMC where the likelihood function is unbiasedly estimated from a random subset of the data, resulting in substantially fewer density evaluations. The subsets are selected using efficient sampling schemes, such as Probability Proportional-to-Size (PPS) sampling where the inclusion probability of an observation is proportional to an approximation of its contribution to the likelihood function. We illustrate the method on a large dataset of Swedish firms containing half a million observations.

This talk is part of the Isaac Newton Institute Seminar Series series.

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