Stochastic Gradient Monomial Gamma Sampler


Yizhe Zhang, Changyou Chen, Zhe Gan, Ricardo Henao, Lawrence Carin ;
Proceedings of the 34th International Conference on Machine Learning, PMLR 70:3996-4005, 2017.


Scaling Markov Chain Monte Carlo (MCMC) to estimate posterior distributions from large datasets has been made possible as a result of advances in stochastic gradient techniques. Despite their success, mixing performance of existing methods when sampling from multimodal distributions can be less efficient with insufficient Monte Carlo samples; this is evidenced by slow convergence and insufficient exploration of posterior distributions. We propose a generalized framework to improve the sampling efficiency of stochastic gradient MCMC, by leveraging a generalized kinetics that delivers superior stationary mixing, especially in multimodal distributions, and propose several techniques to overcome the practical issues. We show that the proposed approach is better at exploring a complicated multimodal posterior distribution, and demonstrate improvements over other stochastic gradient MCMC methods on various applications.

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