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
arXiv Machine Learning
Sep 3

HyperMC: Multi-Fidelity Hyperparameter Tuning for Stochastic Gradient MCMC

HyperMC is a multi‑fidelity hyperparameter tuning framework for stochastic gradient Markov chain Monte Carlo (SGMCMC) that combines Hyperband-style resource allocation with kernel Stein discrepancy (KSD) evaluation. It uses successive‑halving brackets to explore a continuous hyperparameter space while progressively refining promising configurations within a fixed computational budget. Robust HyperMC further introduces global grid initialization and elite‑guided local refinement to reduce sensitivity to random candidate generation and noisy evaluations, and theoretical analysis shows that the successive‑halving component selects a near‑optimal configuration with high probability under suitable conditions.

By Ming Tan, Xiyun Jiao