Large-scale Uncertainty Quantification for Latent Variable Models Using Subsampling Markov Chain Monte Carlo

arXiv:2606.00309v1 Announce Type: new Abstract: Stochastic gradient Langevin dynamics combined with Gibbs updates (SGLD--Gibbs) provides a highly scalable approach to approximate Bayesian inference in latent variable models. However, it remains unclear how to tune the algorithm's hyperparameters in a principled manner to ensure the uncertainty estimates are statistically meaningful. In this work, we address this gap in tuning guidance by developing a statistical scaling limit theory for SGLD--Gibbs. We derive a joint asymptotic limit for the global parameters and latent variables under appropr

Source: arXiv cs.LG — read the full report at the original publisher.

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