Likelihood Inflated Sampling Algorithm for Bayesian Regression Trees with Large Data
Markov Chain Monte Carlo (MCMC) sampling from a posterior distribution corresponding to a massive data set can be computationally prohibitive as producing one sample requires a number of operations that is linear in the data size. A new communication-free parallel method, the “Likelihood Inflating Sampling Algorithm (LISA),” is introduced. LISA significantly reduces computational costs by randomly splitting the data set into smaller subsets and running MCMC methods independently in parallel on each subset using different processors. Each processor will be used to run an MCMC chain that samples sub-posterior distributions which are defined using an “inflated” likelihood function. We develop a strategy for combining the draws from different sub-posteriors to study the full posterior of the Bayesian Additive Regression Trees (BART) model. The performance of the method is tested using simulated data and a large socio-economic study.
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Language of Oral Presentation
English
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English