arXiv Machine Learning By Xiaoyu Wang, Jonathan H. Huggins

Large-scale Uncertainty Quantification for Latent Variable Models Using Subsampling Markov Chain Monte Carlo

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arXiv:2606. 00309v1 Announce Type: new Abstract: Stochastic gradient Langevin dynamics combined with Gibbs updates (SGLD--Gibbs) provides a highly scalable approach to approximate Bayesian inference in latent variable models.

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arXiv Machine Learning
Jun 2

Accurate Large-sample Uncertainty Quantification using Stochastic Gradient Markov Chain Monte Carlo

arXiv:2606. 00293v1 Announce Type: new Abstract: Tuning algorithms such as stochastic gradient descent (SGD) and stochastic gradient Langevin dynamics (SGLD) for approximate sampling and uncertainty quantification remains challenging, particularly in the practically relevant settings when the batch size is large or the model is misspecified.

By Yu Wang, Jie Ding, Jonathan H. Huggins