Center for Studies in Demography and Ecology

Continuous-time MCMC, Paul Fearnhead (CSSS Seminar, 3/6/2019)

Posted: 3/4/2019 (Local Events)

Continuous-time MCMC

Paul Fearnhead

Professor, Departments of Statistics, Lancaster Universityhttps://www.maths.lancs.ac.uk/fearnhea/

Recently, there have been conceptually novel developments in Monte Carlo methods through the introduction of new MCMC algorithms which are based on continuous-time, rather than discrete-time, Markov processes. These show promise for scalable Bayesian Analysis: they naturally have non-reversible dynamics which enable them to mix faster in high-dimensional settings; sometimes they can be implemented in a way that requires access to only a small number of data points at each iteration, and yet still sample from the true posterior; and they automatically take account of sparsity in the dependence structure. This talk will give an overview of the recent work in this area.

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Date: 03/06/2019

Time: 12:30–1:30 PM

Location: Savery (SAV) 409