Agenda

23 Apr 2018 10:00

Christian Robert - Folding MCMC algorithms

Meeting Room 1, Campus San Giobbe, Venezia

Relatore: Christian Robert - Université Paris-Dauphine and University of Warwick

Abstract: In this talk, we consider the implications of “folding” a Markov chain Monte Carlo algorithm, namely to restrict simulation of a given target distribution to a convex subset of the support of the target via a projection on this subset. We argue that this modification should be implemented in most cases an MCMC algorithm is considered. In particular, we demonstrate improvements in the acceptance rate and in the ergodicity of the resulting Markov chain.

We illustrate those improvement on several examples, but insist on the fact that they are universally applicable at a negligible computing cost, independently of the dimension of the problem. Joint work with Randal Douc (CITI, Telecom SudParis, France) and Gareth Roberts (University of Warwick, UK).

Slide (download)

Lingua

L'evento si terrà in italiano

Organizzatore

Dipartimento di Economia (EcSeminars)

Link

https://www.ceremade.dauphine.fr/~xian/

Cerca in agenda