Scalable Metropolis-Hastings for Exact Bayesian Inference with Large Datasets

Robert Cornish, Paul Vanetti, Alexandre Bouchard-Côté, George Deligiannidis, Arnaud Doucet

Abstract: Bayesian inference via standard Markov Chain Monte Carlo (MCMC) methods such as Metropolis-Hastings is too computationally intensive to handle large datasets, since the cost per step usually scales...