Parallelizing MCMC via Weierstrass Sampler
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Abstract (arXiv)
With the rapidly growing scales of statistical problems, subset based communication-free parallel MCMC methods are a promising future for large scale Bayesian analysis. In this article, we propose a new Weierstrass sampler for parallel MCMC based on independent subsets. The new sampler approximates the full data posterior samples via combining the posterior draws from independent subset MCMC chains, and thus enjoys a higher computational efficiency. We show that the approximation error for the Weierstrass sampler is bounded by some tuning parameters and provide suggestions for choice of the values. Simulation study shows the Weierstrass sampler is very competitive compared to other methods for combining MCMC chains generated for subsets, including averaging and kernel smoothing.
Key facts. Cited by 11 papers in the map (data through 7 Oct 2026). First posted on arXiv 17 Dec 2013.
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Citing papers per year: 2021: 5; 2022: 1; 2023: 2; 2024: 0; 2025: 1; 2026: 2.
11 papers.
- 2021QLSD: Quantised Langevin stochastic dynamics for Bayesian federated learningcited by 26
- 2021A Survey of Monte Carlo Methods for Parameter Estimationcited by 23
- 2021On Convergence of Federated Averaging Langevin Dynamicscited by 14
- 2021DG-LMC: A Turn-key and Scalable Synchronous Distributed MCMC Algorithm via Langevin Monte Carlo within Gibbscited by 11
- 2021Federated Gaussian Process: Convergence, Automatic Personalization and Multi-fidelity Modelingcited by 8
- 2023Sharded Bayesian Additive Regression Treescited by 5
- 2023Machine Learning and the Future of Bayesian Computationcited by 4
- 2022Federated Averaging Langevin Dynamics: Toward a unified theory and new algorithmscited by 2
- 2026Vertical Consensus Inference for High-Dimensional Random Partitioncited by 1
- 2025Measuring the right thing: justifying metrics in AI impact assessmentscited by 0
- 2026Neural composite likelihood estimation: simulation based inference for time seriescited by 0
- 2026Neural composite likelihood estimation: simulation based inference for time series18 Sep 2026
- 2026Vertical Consensus Inference for High-Dimensional Random Partition29 Mar 2026
- 2025Measuring the right thing: justifying metrics in AI impact assessments7 Apr 2025
- 2023Sharded Bayesian Additive Regression Trees1 Jun 2023
- 2023Machine Learning and the Future of Bayesian Computation21 Apr 2023
- 2022Federated Averaging Langevin Dynamics: Toward a unified theory and new algorithms31 Oct 2022
- 2021On Convergence of Federated Averaging Langevin Dynamics9 Dec 2021
- 2021Federated Gaussian Process: Convergence, Automatic Personalization and Multi-fidelity Modeling28 Nov 2021
- 2021A Survey of Monte Carlo Methods for Parameter Estimation25 Jul 2021
- 2021DG-LMC: A Turn-key and Scalable Synchronous Distributed MCMC Algorithm via Langevin Monte Carlo within Gibbs11 Jun 2021
- 2021QLSD: Quantised Langevin stochastic dynamics for Bayesian federated learning1 Jun 2021