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.
Organizing committee: Julien Bect (L2S), Emmanuel Vazquez (L2S), Didier Clouteau (MSSMAT), Filippo Gatti (MSSMAT), Fernando Lopez Caballero (MSSMAT), Amélie Fau (LMT), Bertrand Iooss (EDF R&D).
Practical details: the seminar will be held online using Microsoft Teams.
If you want to attend this seminar (or any of the forthcoming online UQSay seminars), and if you do not already have access to the UQSay group on Teams, simply send an email and you will be invited. Please specify which email address the invitation must be sent to (this has to be the address associated with your Teams account).
You will find the link to the seminar on the « General » UQSay channel on Teams, approximately 15 minutes before the beginning.
The technical side of things: you can use Teams either directly from you web browser or using the « fat client », which is available for most platforms (Windows, Linux, Mac, Android & iOS). We strongly recommend the latter option whenever possible. Please give it a try before the seminar to anticipate potential problems.