Parallel Stochastic Gradient Markov Chain Monte Carlo for Matrix Factorisation Models

3 Jun 2015Umut ŞimşekliHazal KoptagelHakan GüldaşA. Taylan CemgilFigen ÖztoprakŞ. İlker Birbil

For large matrix factorisation problems, we develop a distributed Markov Chain Monte Carlo (MCMC) method based on stochastic gradient Langevin dynamics (SGLD) that we call Parallel SGLD (PSGLD). PSGLD has very favourable scaling properties with increasing data size and is comparable in terms of computational requirements to optimisation methods based on stochastic gradient descent... (read more)

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