UQSay Seminar #28: Optimal thinning of MCMC Output

2021-04-22 14:00 2021-04-22 15:00 UQSay Seminar #28: Optimal thinning of MCMC Output

There is a recent trend in computational statistics to move away from sampling methods and towards optimisation methods for posterior approximation. These include discrepancy minimisation, gradient flows and control functionals—all of which have the potential to deliver faster convergence than a Monte Carlo method. In this talk we will see how ideas from discrepancy minimisation can be applied to the problem of optimal thinning of MCMC output.

Joint work with Marina Riabiz, Wilson Chen, Jon Cockayne, Pawel Swietach, Steve Niederer, Lester Mackey.

 En ligne / online
Thematic : Research

UQSay is a series of seminars on the broad area of Uncertainty Quantification (UQ) and related topics, organized by L2S, MSSMAT, LMT and EDF R&D.

  • Public
    Réservé à certains publics
  • Event type
    Atelier
  • Dates
    Thursday 22 April, 14:00
    02:00 pm - 03:00 pm
  • Location
    En ligne / online

There is a recent trend in computational statistics to move away from sampling methods and towards optimisation methods for posterior approximation. These include discrepancy minimisation, gradient flows and control functionals—all of which have the potential to deliver faster convergence than a Monte Carlo method. In this talk we will see how ideas from discrepancy minimisation can be applied to the problem of optimal thinning of MCMC output.

Joint work with Marina Riabiz, Wilson Chen, Jon Cockayne, Pawel Swietach, Steve Niederer, Lester Mackey.