Guang Lin - Scalable algorithms for Bayesian deep learning via stochastic gradient Monte Carlo
Recorded 16 July 2025. Guang Lin of Purdue University presents "Scalable algorithms for Bayesian deep learning via stochastic gradient Monte Carlo and Beyond" at IPAM's Sampling, Inference, and Data-Driven Physical Modeling in Scientific Machine Learning Workshop.Abstract: Replica exchange Monte Carlo (reMC), also known as parallel tempering, is an important technique for accelerating the convergence of the conventional Markov Chain Monte Carlo (MCMC) algorithms. However, such a method requires the evaluation of the energy function based on the full dataset and is not scalable to big data. The naïve implementation of reMC in mini-batch settings introduces large biases, which cannot be directly extended to the stochastic gradient MCMC (SGMCMC), the standard sampling method for simulating from deep neural networks (DNNs). In this talk, we will present an adaptive replica exchange SGMCMC (reSGMCMC) to automatically correct the bias and study the corresponding properties. The analysis implies an acceleration-accuracy trade-off in the numerical discretization of a Markov jump process in a stochastic environment. Empirically, we test the algorithm through extensive experiments on various setups and obtain the state-of-the-art results on CIFAR10, CIFAR100, and SVHN in both supervised learning and semi-supervised learning tasks.
Learn more online at: https://www.ipam.ucla.edu/programs/workshops/sampling-inference-and-data-driven-physical-modeling-in-scientific-machine-learning-2/ Receive SMS online on sms24.me
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