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Scalable Importance Tempering and Bayesian Variable Selection
| Content Provider | Semantic Scholar |
|---|---|
| Author | Zanella, Giacomo Roberts, Gareth |
| Copyright Year | 2018 |
| Abstract | We propose a Monte Carlo algorithm to sample from high-dimensional probability distributions that combines Markov chain Monte Carlo (MCMC) and importance sampling. We provide a careful theoretical analysis, including guarantees on robustness to high-dimensionality, explicit comparison with standard MCMC and illustrations of the potential improvements in efficiency. Simple and concrete intuition is provided for when the novel scheme is expected to outperform standard schemes. When applied to Bayesian Variable Selection problems, the novel algorithm is orders of magnitude more efficient than available alternative sampling schemes and allows to perform fast and reliable fully Bayesian inferences with tens of thousands regressors. |
| Starting Page | 489 |
| Ending Page | 517 |
| Page Count | 29 |
| File Format | PDF HTM / HTML |
| DOI | 10.1111/rssb.12316 |
| Alternate Webpage(s) | https://arxiv.org/pdf/1805.00541v1.pdf |
| Alternate Webpage(s) | http://wrap.warwick.ac.uk/114513/7/WRAP-scalable-importance-tempering-Bayesian-Roberts-2019.pdf |
| Alternate Webpage(s) | https://doi.org/10.1111/rssb.12316 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
