Subsampling Sequential Monte Carlo for static Bayesian models

Arbeitspapier

We show how to speed up Sequential Monte Carlo (SMC) for Bayesian inference in large data problems by data subsampling. SMC sequentially updates a cloud of particles through a sequence of distributions, beginning with a distribution that is easy to sample from such as the prior and ending with the posterior distribution. Each update of the particle cloud consists of three steps: reweighting, resampling, and moving. In the move step, each particle is moved using a Markov kernel and this is typically the most computationally expensive part, particularly when the dataset is large. It is crucial to have an effcient move step to ensure particle diversity. Our article makes two important contributions. First, in order to speed up the SMC computation, we use an approximately unbiased and effcient annealed likelihood estimator based on data subsampling. The subsampling approach is more memory efficient than the corresponding full data SMC, which is an advantage for parallel computation. Second, we use a Metropolis within Gibbs kernel with two conditional updates. A Hamiltonian Monte Carlo update makes distant moves for the model parameters, and a block pseudo-marginal proposal is used for the particles corresponding to the auxiliary variables for the data subsampling. We demonstrate the usefulness of the methodology for estimating three generalized linear models and a generalized additive model with large datasets.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Sveriges Riksbank Working Paper Series ; No. 371

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Statistical Simulation Methods: General ; Large Data Sets: Modeling and Analysis
• Subject: Hamiltonian Monte Carlo ; Large datasets ; Likelihood annealing

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gunawan, David ; Dang, Khue-Dung ; Quiroz, Matias ; Kohn, Robert ; Tran, Minh-Ngoc
• Event: Veröffentlichung
• (who): Sveriges Riksbank
• (where): Stockholm
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/215449
• Last update: 10.03.2025, 11:44 AM CET