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sgmcmc: An R Package for Stochastic Gradient Markov Chain Monte Carlo

This paper introduces the R package sgmcmc; which can be used for Bayesian inference on problems with large data sets using stochastic gradient Markov chain Monte Carlo (SGMCMC). Traditional Markov chain Monte Carlo (MCMC) methods, such as Metropolis-Hastings, are known to run prohibitively slowly a...

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Autors principals: Jack Baker, Paul Fearnhead, Emily B. Fox, Christopher Nemeth
Format: Artigo
Idioma:Inglês
Publicat: Foundation for Open Access Statistics 2019-10-01
Col·lecció:Journal of Statistical Software
Matèries:
r
stochastic gradient markov chain monte carlo
big data
mcmc
stochastic gradient langevin dynamics
stochastic gradient hamiltonian monte carlo
stochastic gradient nos\'e-hoover thermostat
Accés en línia:https://www.jstatsoft.org/index.php/jss/article/view/3274
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