[Forum SIS] DEC Seminar - October 9th

[Raffaella Piccarreta]

Dear all, 
we are glad to announce the following seminar 





DEC - Statistics Seminar 
Università Bocconi, 
Room 3-E4-SR03 
Via Rontgen 1 - 3rd floor 
Time: 12:30pm 
( The DEC seminar schedule is available at http://www.unibocconi.eu/statseminar ) 


Thursday, October 9th 

Steven Scott 
(Google) 

"Bayes and Big Data: The Consensus Monte Carlo Algorithm" 



Abstract 
A useful definition of “big data” is data that is too big to comfortably process on a single machine, either because of processor, memory, or disk bottlenecks. Graphics processing units can alleviate the processor bottleneck, but memory or disk bottlenecks can only be eliminated by splitting data across multiple machines. Communication between large numbers of machines is expensive (regardless of the amount of data being communicated), so there is a need for algorithms that perform distributed approximate Bayesian analyses with minimal communication. Consensus Monte Carlo operates by running a separate Monte Carlo algorithm on each machine, and then averaging individual Monte Carlo draws across machines. Depending on the model, the resulting draws can be nearly indistinguishable from the draws that would have been obtained by running a single machine algorithm for a very long time. Examples of consensus Monte Carlo are shown for simple models where single-machine solutions are available, for large single-layer hierarchical models, and for Bayesian additive regression trees (BART). 


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Elisa Picassi 
Department of Decision Sciences 
Bocconi University 
Via Röntgen 1 
3rd floor - room D208 
20136 Milano, Italy 
T: +39 02 5836.5632 
F: +39 02 5836.5630 
E: elisa.picassi a unibocconi.it 
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Raffaella Piccarreta 
DEC - Department of Decision Sciences, 
Universita' L.Bocconi, via Guglielmo Röntgen 1 (3rd floor, room D1-09). 20136, Milano. 
email: piccarreta a unibocconi.it 
tel. +39-02-58365659 / fax +39-02-58365630 

Web page (ENGLISH VERSION): http://faculty.unibocconi.eu/raffaellapiccarreta/ 
(ITALIAN VERSION): http://faculty.unibocconi.it/raffaellapiccarreta/ 
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