gautam-sabnis Goto Github PK
Name: Gautam Sabnis
Type: User
Company: The Jackson Laboratory
Bio: Associate Computational Scientist
Location: Bar Harbor, Maine
Name: Gautam Sabnis
Type: User
Company: The Jackson Laboratory
Bio: Associate Computational Scientist
Location: Bar Harbor, Maine
We propose a distributed computing framework, based on a divide and conquer strategy and hierarchical modeling, to accelerate posterior inference for high-dimensional factor models. Our approach distributes the task of high-dimensional covariance matrix estimation to multiple cores, solves each subproblem separately via a latent factor model, and then combines these estimates to produce a globale estimate of the covariance matrix. The MATLAB code is available for public use. The paper is available at https://arxiv.org/pdf/1612.02875.pdf.
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