Most Likely Optimal Subsampled Markov Chain Monte Carlo (2005.11461v1)

Abstract: Markov Chain Monte Carlo (MCMC) requires to evaluate the full data likelihood at different parameter values iteratively and is often computationally infeasible for large data sets. In this paper, we propose to approximate the log-likelihood with subsamples taken according to nonuniform subsampling probabilities, and derive the most likely optimal (MLO) subsampling probabilities for better approximation. Compared with existing subsampled MCMC algorithm with equal subsampling probabilities, our MLO subsampled MCMC has a higher estimation efficiency with the same subsampling ratio. We also derive a formula using the asymptotic distribution of the subsampled log-likelihood to determine the required subsample size in each MCMC iteration for a given level of precision. This formula is used to develop an adaptive version of the MLO subsampled MCMC algorithm. Numerical experiments demonstrate that the proposed method outperforms the uniform subsampled MCMC.