Title: Optimal subsampling: Sampling with replacement vs Poisson sampling
Authors: HaiYing Wang - University of Connecticut (United States) [presenting]
Abstract: Faced with massive data, subsampling is a commonly used technique to improve computational efficiency, and using nonuniform subsampling probabilities is an effective approach to improve estimation efficiency. In the context of maximizing a general target function, optimal subsampling probabilities are derived for both subsampling with replacement and Poisson subsampling. The optimal subsampling probabilities minimize functions of the subsampling approximation variances in order to improve the estimation efficiency. Furthermore, they provide deep insights on the theoretical similarities and differences between subsampling with replacement and Poisson subsampling. Practically implementable algorithms are proposed based on the optimal structural results, which are evaluated by both theoretical and empirical analysis.