View article

For big data analysis, high computational cost for Bayesian methods often limits their applications in practice. In recent years, there have been many attempts to improve computational efficiency of Bayesian inference. Here we propose an efficient and scalable computational technique for a state-of-the-art Markov chain Monte Carlo methods, namely, Hamiltonian Monte Carlo. The key idea is to explore and exploit the structure and regularity in parameter space for the underlying probabilistic model to construct an effective approximation of its geometric properties. To this end, we build a surrogate function to approximate the target distribution using properly chosen random bases and an efficient optimization process. The resulting method provides a flexible, scalable, and efficient sampling algorithm, which converges to the correct target distribution. We show that by choosing the basis functions and …