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Stochastic Gradient Geodesic MCMC Methods

Chang Liu · Jun Zhu · Yang Song

Area 5+6+7+8 #138

Keywords: [ (Other) Bayesian Inference ] [ Large Scale Learning and Big Data ] [ MCMC ]


We propose two stochastic gradient MCMC methods for sampling from Bayesian posterior distributions defined on Riemann manifolds with a known geodesic flow, e.g. hyperspheres. Our methods are the first scalable sampling methods on these manifolds, with the aid of stochastic gradients. Novel dynamics are conceived and 2nd-order integrators are developed. By adopting embedding techniques and the geodesic integrator, the methods do not require a global coordinate system of the manifold and do not involve inner iterations. Synthetic experiments show the validity of the method, and its application to the challenging inference for spherical topic models indicate practical usability and efficiency.

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