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Monte Carlo fusion

Part of: Probabilistic methods, simulation and stochastic differential equations Decision theory

Published online by Cambridge University Press:  12 July 2019

Hongsheng Dai ,
Murray Pollock  and
Gareth Roberts
Hongsheng Dai*
Affiliation:
University of Essex
Murray Pollock*
Affiliation:
University of Warwick
Gareth Roberts*
Affiliation:
University of Warwick
*
*Postal address: Department of Mathematical Sciences, University of Essex, Wivenhoe Park, Colchester, CO4 3SQ, UK. Email address: [email protected]
**Postal address: Department of Statistics, University of Warwick, Gibbet Hill Road, Coventry, CV4 7ES, UK.
**Postal address: Department of Statistics, University of Warwick, Gibbet Hill Road, Coventry, CV4 7ES, UK.
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Abstract

In this paper we propose a new theory and methodology to tackle the problem of unifying Monte Carlo samples from distributed densities into a single Monte Carlo draw from the target density. This surprisingly challenging problem arises in many settings (for instance, expert elicitation, multiview learning, distributed ‘big data’ problems, etc.), but to date the framework and methodology proposed in this paper (Monte Carlo fusion) is the first general approach which avoids any form of approximation error in obtaining the unified inference. In this paper we focus on the key theoretical underpinnings of this new methodology, and simple (direct) Monte Carlo interpretations of the theory. There is considerable scope to tailor the theory introduced in this paper to particular application settings (such as the big data setting), construct efficient parallelised schemes, understand the approximation and computational efficiencies of other such unification paradigms, and explore new theoretical and methodological directions.

Keywords

Fork-and-joinfusionLangevin diffusionMonte Carlo

MSC classification

Primary: 65C05: Monte Carlo methods 65C60: Computational problems in statistics
Secondary: 62C10: Bayesian problems; characterization of Bayes procedures 65C30: Stochastic differential and integral equations
Type
Research Papers
Information
Journal of Applied Probability , Volume 56 , Issue 1 , March 2019 , pp. 174 - 191
Copyright
© Applied Probability Trust 2019 

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