A Complete Recipe for Stochastic Gradient MCMC

Introduction to Probability Theory and its Applications

W. Feller · 1950

Earlier work this paper cites.

A stochastic approximation method

H. Robbins and S. Monro · 1951

Earlier work this paper cites.

Hybrid Monte Carlo

S. Duane, A.D. Kennedy, B.J. Pendleton, and D. Roweth · 1987

Earlier work this paper cites.

The Fokker-Planck Equation: Methods of Solutions and Applications

H. Risken and T. Frank · 1996

Earlier work this paper cites.

Nonequilibrium Statistical Mechanics

R. Zwanzig · 2001

Earlier work this paper cites.

Latent dirichlet allocation

D.M. Blei, A.Y. Ng, and M.I. Jordan · 2003

Earlier work this paper cites.

Existence and construction of dynamical potential in nonequilibrium processes without detailed balance

L. Yin and P. Ao · 2006

Earlier work this paper cites.

MCMC using Hamiltonian dynamics

R.M. Neal · 2010

Cited alongside, same era.

Riemann manifold Langevin and Hamiltonian Monte Carlo methods

M. Girolami and B. Calderhead · 2011

Cited alongside, same era.

Bayesian learning via stochastic gradient Langevin dynamics

M. Welling and Y.W. Teh · 2011

Cited alongside, same era.

Bayesian posterior sampling via stochastic gradient Fisher scoring

S. Ahn, A. Korattikara, and M. Welling · 2012

Cited alongside, same era.

Relation of a new interpretation of stochastic differential equations to Itô process

J. Shi, T. Chen, R. Yuan, B. Yuan, and P. Ao · 2012

Cited alongside, same era.

Stochastic gradient Riemannian Langevin dynamics on the probability simplex

S. Patterson and Y.W. Teh · 2013

Cited alongside, same era.

Towards scaling up Markov chain Monte Carlo: An adaptive subsampling approach

R. Bardenet, A. Doucet, and C. Holmes · 2014

Later among the works it cites.

Stochastic gradient Hamiltonian Monte Carlo

T. Chen, E.B. Fox, and C. Guestrin · 2014

Later among the works it cites.

Bayesian sampling using stochastic gradient thermostats

N. Ding, Y. Fang, R. Babbush, C. Chen, R.D. Skeel, and H. Neven · 2014

Later among the works it cites.

Austerity in MCMC land: Cutting the Metropolis-Hastings budget

A. Korattikara, Y. Chen, and M. Welling · 2014

Later among the works it cites.

Langevin diffusions and the Metropolis-adjusted Langevin algorithm

T. Xifara, C. Sherlock, S. Livingstone, S. Byrne, and M. Girolami · 2014

Later among the works it cites.

The fundamental incompatibility of scalable Hamiltonian Monte Carlo and naive data subsampling

M. Betancourt · 2015