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Efficient and Generalizable Tuning Strategies for Stochastic Gradient MCMC

2022-08-08

Abstract excerpt

Stochastic gradient Markov chain Monte Carlo (SGMCMC) is a popular class of algorithms for scalable Bayesian inference. However, these algorithms include hyperparameters such as step size or batch size that influence the accuracy of estimators based on the obtained posterior samples. As a result, these hyperparameters must be tuned by the practitioner and currently no principled and automated way to tune them exis...

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Literature Corpus work
9f16dd7d-ca03-580b-b8e3-298b3303e4d7
DOI
10.21203/rs.3.rs-1914735/v1
Open publication

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