Firefly Monte Carlo: Exact MCMC with subsets of data

Dougal Maclaurin, Ryan P. Adams

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

17 Scopus citations

Abstract

Markov chain Monte Carlo (MCMC) is a popular tool for Bayesian inference. However, MCMC cannot be practically applied to large data sets because of the prohibitive cost of evaluating every likelihood term at every iteration. Here we present Firefly Monte Carlo (FlyMC) MCMC algorithm with auxiliary variables that only queries the likelihoods of a subset of the data at each iteration yet simulates from the exact posterior distribution. FlyMC is compatible with modern MCMC algorithms, and only requires a lower bound on the per-datum likelihood factors. In experiments, we find that FlyMC generates samples from the posterior more than an order of magnitude faster than regular MCMC, allowing MCMC methods to tackle larger datasets than were previously considered feasible.

Original languageEnglish (US)
Title of host publicationIJCAI 2015 - Proceedings of the 24th International Joint Conference on Artificial Intelligence
EditorsMichael Wooldridge, Qiang Yang
PublisherInternational Joint Conferences on Artificial Intelligence
Pages4289-4295
Number of pages7
ISBN (Electronic)9781577357384
StatePublished - Jan 1 2015
Externally publishedYes
Event24th International Joint Conference on Artificial Intelligence, IJCAI 2015 - Buenos Aires, Argentina
Duration: Jul 25 2015Jul 31 2015

Publication series

NameIJCAI International Joint Conference on Artificial Intelligence
Volume2015-January
ISSN (Print)1045-0823

Other

Other24th International Joint Conference on Artificial Intelligence, IJCAI 2015
CountryArgentina
CityBuenos Aires
Period7/25/157/31/15

All Science Journal Classification (ASJC) codes

  • Artificial Intelligence

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