Subsampling Sequential Monte Carlo for Static Bayesian Models

8 May 2018David GunawanKhue-Dung DangMatias QuirozRobert KohnMinh-Ngoc Tran

We show how to speed up Sequential Monte Carlo (SMC) for Bayesian inference in large data problems by data subsampling. SMC sequentially updates a cloud of particles through a sequence of distributions, beginning with a distribution that is easy to sample from such as the prior and ending with the posterior distribution... (read more)

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