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Publications [#300244] of Jonathan C. Mattingly

Papers Published

  1. Johndrow, JE; Mattingly, JC; Mukherjee, S; Dunson, D, Optimal approximating Markov chains for Bayesian inference (August, 2015) [1508.03387v2]
    (last updated on 2017/12/17)

    Abstract:
    The Markov Chain Monte Carlo method is the dominant paradigm for posterior computation in Bayesian analysis. It is common to control computation time by making approximations to the Markov transition kernel. Comparatively little attention has been paid to computational optimality in these approximating Markov Chains, or when such approximations are justified relative to obtaining shorter paths from the exact kernel. We give simple, sharp bounds for uniform approximations of uniformly mixing Markov chains. We then suggest a notion of optimality that incorporates computation time and approximation error, and use our bounds to make generalizations about properties of good approximations in the uniformly mixing setting. The relevance of these properties is demonstrated in applications to a minibatching-based approximate MCMC algorithm for large $n$ logistic regression and low-rank approximations for Gaussian processes.

 

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