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Activity Number: 463
Type: Invited
Date/Time: Wednesday, August 12, 2015 : 8:30 AM to 10:20 AM
Sponsor: Section on Bayesian Statistical Science
Abstract #314442
Title: Parallelization of MCMC Algorithms
Author(s): Natesh Pillai* and Guillaume Basse and Aaron Smith and Ben Calderhead
Companies: Harvard University and Harvard University and University of Waterloo and Imperial College London
Keywords: MCMC algorithms ; Parallelization ; Gibbs Sampler
Abstract:

We present two new approaches for implementing parallel versions of Markov chain Monte Carlo algorithms. The first one uses ideas from spectral clustering. Our second approach is tailored to Gibbs samplers. We show that by "metropolising" any standard Gibbs sampler, we can parallelize the algorithm without a significant overhead cost.


Authors who are presenting talks have a * after their name.

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