论文标题

不可逆的平行回火以进行深层后近似

Non-reversible Parallel Tempering for Deep Posterior Approximation

论文作者

Deng, Wei, Zhang, Qian, Feng, Qi, Liang, Faming, Lin, Guang

论文摘要

平行回火(PT),也称为复制交换,是用于模拟多模式分布的首选。 PT成功的关键是采用有效的掉期方案。流行的确定性偶数偶像(DEO)方案利用了非可逆性属性,并成功地将通信成本从$ O(p^2)$降低到$ O(p)$,给定了足够多的$ p $链。但是,由于链条有限和偏见校正的掉期有限,这种创新在大数据中大大消失。为了解决这个问题,我们概括了DEO计划以促进非可逆性,并提出了一些解决方案,以解决由几何停止时间引起的潜在偏见。值得注意的是,在大数据方案中,我们根据最佳窗口大小获得了吸引人的通信费用$ O(P \ log P)$。此外,我们还采用了随机梯度下降(SGD),并以较大且恒定的学习率作为探索内核。这种用户友好的性质使我们能够在没有太多调整成本的情况下为复杂的后代执行近似任务。

Parallel tempering (PT), also known as replica exchange, is the go-to workhorse for simulations of multi-modal distributions. The key to the success of PT is to adopt efficient swap schemes. The popular deterministic even-odd (DEO) scheme exploits the non-reversibility property and has successfully reduced the communication cost from $O(P^2)$ to $O(P)$ given sufficiently many $P$ chains. However, such an innovation largely disappears in big data due to the limited chains and few bias-corrected swaps. To handle this issue, we generalize the DEO scheme to promote non-reversibility and propose a few solutions to tackle the underlying bias caused by the geometric stopping time. Notably, in big data scenarios, we obtain an appealing communication cost $O(P\log P)$ based on the optimal window size. In addition, we also adopt stochastic gradient descent (SGD) with large and constant learning rates as exploration kernels. Such a user-friendly nature enables us to conduct approximation tasks for complex posteriors without much tuning costs.

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