Clone MCMC: Parallel High-Dimensional Gaussian Gibbs Sampling

NeurIPS 2017 Andrei-Cristian BarbosFrancois CaronJean-François GiovannelliArnaud Doucet

We propose a generalized Gibbs sampler algorithm for obtaining samples approximately distributed from a high-dimensional Gaussian distribution. Similarly to Hogwild methods, our approach does not target the original Gaussian distribution of interest, but an approximation to it... (read more)

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