Subsampling Sequential Monte Carlo for Static Bayesian Models

TL;DR

This paper introduces a subsampling-based approach to accelerate Sequential Monte Carlo methods for Bayesian inference in large datasets, combining efficient likelihood estimation with advanced Markov kernels.

Contribution

It proposes a novel subsampling-based SMC framework using unbiased likelihood estimators and a Metropolis within Gibbs kernel with Hamiltonian Monte Carlo updates.

Findings

Effective acceleration of SMC for large datasets

Memory-efficient subsampling approach

Successful application to generalized linear and additive models

Abstract

We show how to speed up Sequential Monte Carlo (SMC) for Bayesian inference in large data problems by data subsampling. SMC sequentially updates a cloud of particles through a sequence of distributions, beginning with a distribution that is easy to sample from such as the prior and ending with the posterior distribution. Each update of the particle cloud consists of three steps: reweighting, resampling, and moving. In the move step, each particle is moved using a Markov kernel; this is typically the most computationally expensive part, particularly when the dataset is large. It is crucial to have an efficient move step to ensure particle diversity. Our article makes two important contributions. First, in order to speed up the SMC computation, we use an approximately unbiased and efficient annealed likelihood estimator based on data subsampling. The subsampling approach is more memory efficient than the corresponding full data SMC, which is an advantage for parallel computation. Second, we use a Metropolis within Gibbs kernel with two conditional updates. A Hamiltonian Monte Carlo update makes distant moves for the model parameters, and a block pseudo-marginal proposal is used for the particles corresponding to the auxiliary variables for the data subsampling. We demonstrate both the usefulness and limitations of the methodology for estimating four generalized linear models and a generalized additive model with large datasets.