Bayesian Inference for Big Data with Stochastic Gradient Markov Chain Monte Carlo
Lead Research Organisation:
University of Oxford
Department Name: Statistics
Abstract
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Organisations
People |
ORCID iD |
Arnaud Doucet (Principal Investigator) |
Publications
Vollmer S
(2015)
Dimension-Independent MCMC Sampling for Inverse Problems with Non-Gaussian Priors
in SIAM/ASA Journal on Uncertainty Quantification
Vollmer Sebastian J.
(2015)
(Non-) asymptotic properties of Stochastic Gradient Langevin Dynamics
in arXiv e-prints
Wang L
(2016)
Bayesian Phylogenetic Inference Using a Combinatorial Sequential Monte Carlo Method
in Journal of the American Statistical Association
Yildirim S
(2013)
An Online Expectation-Maximization Algorithm for Changepoint Models
in Journal of Computational and Graphical Statistics
Yildirim S
(2018)
Scalable Monte Carlo inference for state-space models
Description | We are studying sophisticated new statistical methods to analyze big data sets. Current methods are very computationally intensive and do not scale in presence of big data. We are developing scalable yet sophisticated techniques to extract useful information from massive datasets. |
Exploitation Route | There is still a lot of room for improvement, both methodologically and theoretically. So we expect over the forthcoming year to develop further our new algorithms. |
Sectors | Aerospace, Defence and Marine,Digital/Communication/Information Technologies (including Software),Electronics,Security and Diplomacy |
URL | http://www.stats.ox.ac.uk/~doucet/journalsbysubject.html |