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On Markov chain Monte Carlo methods for tall data

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Academic year: 2021

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Figure 1: The pseudocode of the MH algorithm targeting the distribution π. Note that π is only involved in ratios, so that one only needs to know an unnormalized version γ of π.
Figure 2: Results of 10 000 iterations of vanilla MH fitting a Gaussian model to one-dimensional Gaussian and lognormal synthetic data, on the left and right panel, respectively
Figure 3: Results of 10 000 iterations of Firefly MH (MacLaurin & Adams, 2014) on our Gaussian and lognormal running examples
Figure 4: Results of SGLD (Welling & Teh, 2011) on our Gaussian and lognormal running examples
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