# Informed Sub-Sampling MCMC: Approximate Bayesian Inference for Large Datasets

## TL;DR

This paper presents ISS-MCMC, a scalable Bayesian inference method that uses data subsampling guided by summary statistics to efficiently approximate the posterior distribution in large datasets, balancing accuracy and computational cost.

## Contribution

The paper introduces Informed Sub-Sampling MCMC, a novel subsampling framework that maintains simplicity and provides theoretical bias quantification for large-scale Bayesian inference.

## Key findings

- ISS-MCMC achieves efficient approximate inference with limited computational resources.
- The choice of summary statistics as MLE is theoretically justified and improves performance.
- The method's bias is rigorously analyzed and shown to be acceptable in practice.

## Abstract

This paper introduces a framework for speeding up Bayesian inference conducted in presence of large datasets. We design a Markov chain whose transition kernel uses an (unknown) fraction of (fixed size) of the available data that is randomly refreshed throughout the algorithm. Inspired by the Approximate Bayesian Computation (ABC) literature, the subsampling process is guided by the fidelity to the observed data, as measured by summary statistics. The resulting algorithm, Informed Sub-Sampling MCMC (ISS-MCMC), is a generic and flexible approach which, contrary to existing scalable methodologies, preserves the simplicity of the Metropolis-Hastings algorithm. Even though exactness is lost, i.e. the chain distribution approximates the posterior, we study and quantify theoretically this bias and show on a diverse set of examples that it yields excellent performances when the computational budget is limited. If available and cheap to compute, we show that setting the summary statistics as the maximum likelihood estimator is supported by theoretical arguments.