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Title: Non-reversible Parallel Tempering for Deep Posterior Approximation

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 quadratic to linear given the sufficiently many 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 a nearly linear communication cost 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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Award ID(s):
2053746 2328241 2311848 2134209
NSF-PAR ID:
10540504
Author(s) / Creator(s):
; ; ; ;
Publisher / Repository:
Association for the Advancement of Artificial Intelligence - MIT Press
Date Published:
Journal Name:
Proceedings of the AAAI Conference on Artificial Intelligence
Volume:
37
Issue:
6
ISSN:
2159-5399
Page Range / eLocation ID:
7332 to 7339
Subject(s) / Keyword(s):
ML: Bayesian Learning, ML: Probabilistic Methods, RU: Stochastic Models & Probabilistic Inference, RU: Stochastic Optimization, RU: Uncertainty Representations
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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