论文标题
任何时间平行回火
Anytime Parallel Tempering
论文作者
论文摘要
在贝叶斯推论中,开发有效的MCMC算法是必不可少的。在并行回火中,多个相互作用的MCMC链运行到更有效的情况下,可以探索状态空间并提高性能。多个连锁店通过本地移动独立前进,性能增强步骤是交换动作,链条停下来彼此之间的交换以交换当前样本。为了加速独立的本地移动,可以同时在多个处理器上执行它们。然后遇到另一个问题:根据MCMC的实现和推理问题,本地移动可能需要变化和随机的时间才能完成。也可能存在基础架构引起的变化,例如在云计算中产生的同一处理器上的竞争作业。在交流发生之前,所有连锁店都必须完成他们参与的本地移动,以避免引入潜在的实质性偏见(命题2.1)。为了解决多处理器并行降温中随机变化的本地移动完成时间的问题,我们采用了Murray等人的任何时间蒙特卡洛框架。 (2016年):我们对平行的本地动作施加实时截止日期,并在这些截止日期进行交流而没有任何处理器空转。我们在实时截止日期时展示了交流的方法,并不会引入偏见,并导致对闲置的闲置方法的显着提高,直到每个处理器的本地移动完成为止。然后将该方法应用于ABC设置,在该设置中,任何时间ABC平行回火算法是为了估算Lotka-Volterra Predator-Prey模型的参数的困难任务,并观察到了类似的效率增强。
Developing efficient MCMC algorithms is indispensable in Bayesian inference. In parallel tempering, multiple interacting MCMC chains run to more efficiently explore the state space and improve performance. The multiple chains advance independently through local moves, and the performance enhancement steps are exchange moves, where the chains pause to exchange their current sample amongst each other. To accelerate the independent local moves, they may be performed simultaneously on multiple processors. Another problem is then encountered: depending on the MCMC implementation and inference problem, local moves can take a varying and random amount of time to complete. There may also be infrastructure-induced variations, such as competing jobs on the same processors, which arises in cloud computing. Before exchanges can occur, all chains must complete the local moves they are engaged in to avoid introducing a potentially substantial bias (Proposition 2.1). To solve this issue of randomly varying local move completion times in multi-processor parallel tempering, we adopt the Anytime Monte Carlo framework of Murray et al. (2016): we impose real-time deadlines on the parallel local moves and perform exchanges at these deadlines without any processor idling. We show our methodology for exchanges at real-time deadlines does not introduce a bias and leads to significant performance enhancements over the naïve approach of idling until every processor's local moves complete. The methodology is then applied in an ABC setting, where an Anytime ABC parallel tempering algorithm is derived for the difficult task of estimating the parameters of a Lotka-Volterra predator-prey model, and similar efficiency enhancements are observed.