Divide-and-Conquer Monte Carlo Fusion
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Combining several (sample approximations of) distributions, which we term sub-posteriors, into a single distribution proportional to their product, is a common challenge. For instance, in distributed `big data' problems, or when working under multi-party privacy constraints. Many existing approaches resort to approximating the individual sub-posteriors for practical necessity, then representing the resulting approximate posterior. The quality of the posterior approximation for these approaches is poor when the sub-posteriors fall out-with a narrow range of distributional form. Recently, a Fusion approach has been proposed which finds a direct and exact Monte Carlo approximation of the posterior (as opposed to the sub-posteriors), circumventing the drawbacks of approximate approaches. Unfortunately, existing Fusion approaches have a number of computational limitations, particularly when unifying a large number of sub-posteriors. In this paper, we generalise the theory underpinning existing Fusion approaches, and embed the resulting methodology within a recursive divide-and-conquer sequential Monte Carlo paradigm. This ultimately leads to a competitive Fusion approach, which is robust to increasing numbers of sub-posteriors.
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