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Powered embarrassing parallel MCMC sampling in Bayesian inference, a weighted average intuition

Author

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  • Li, Song
  • Tso, Geoffrey K.F.
  • Long, Lufan

Abstract

Although the Markov Chain Monte Carlo (MCMC) is very popular in parameter inference, the alleviation of the burden of calculation is crucial due to the limit of processors, memory, and disk bottleneck. This is especially true in terms of handling big data. In recent years, researchers have developed a parallel MCMC algorithm, in which full data are partitioned into subdatasets. Samples are drawn from the subdatasets independently at different machines without communication. In the extant literature, all machines are deemed to be identical. However, due to the heterogeneity of the data put into different machines, and the random nature of MCMC, the assumption of “identical machines” is questionable. Here we propose a Powered Embarrassing Parallel MCMC (PEPMCMC) algorithm, in which the full data posterior density is the product of the sub-posterior densities (posterior densities of different subdatasets) raised by some constraint powers. This is proven to be equivalent to a weighted averaging procedure. In our work, the powers are determined based on a maximum likelihood criterion, which leads to finding a maximum likelihood point within the convex hull of the estimates from different machines. We prove the asymptotic exactness and apply it to several cases to verify its strength in comparison with the unparallel and unpowered parallel algorithms. Furthermore, the connection between normal kernel density and parametric density estimations under certain conditions is investigated.

Suggested Citation

  • Li, Song & Tso, Geoffrey K.F. & Long, Lufan, 2017. "Powered embarrassing parallel MCMC sampling in Bayesian inference, a weighted average intuition," Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 11-20.
    • Handle: RePEc:eee:csdana:v:115:y:2017:i:c:p:11-20
    DOI: 10.1016/j.csda.2017.05.005
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    References listed on IDEAS

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    1. Mahani, Alireza S. & Sharabiani, Mansour T.A., 2015. "SIMD parallel MCMC sampling with applications for big-data Bayesian analytics," Computational Statistics & Data Analysis, Elsevier, vol. 88(C), pages 75-99.
    2. White, Gentry & Porter, Michael D., 2014. "GPU accelerated MCMC for modeling terrorist activity," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 643-651.
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    Cited by:

    1. Marissa Renardy & Tau-Mu Yi & Dongbin Xiu & Ching-Shan Chou, 2018. "Parameter uncertainty quantification using surrogate models applied to a spatial model of yeast mating polarization," PLOS Computational Biology, Public Library of Science, vol. 14(5), pages 1-26, May.
    2. Tsionas, Mike G., 2019. "Multi-objective optimization using statistical models," European Journal of Operational Research, Elsevier, vol. 276(1), pages 364-378.

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