Speaker |
Sam Livingstone |
|---|---|
Affiliation |
UCL Statistical Science |
Date |
Friday, 09 March 2018 |
Time |
13:00-14:00 |
Location |
Zoom |
Link |
Roberts Building G08 Sir David Davies LT |
Event series |
Jump Trading/ELLIS CSML Seminar Series |
Abstract |
There has been much recent interest in designing MCMC methods that exploit some form of non-reversibility. It has been known for some time that non-reversible Markov chains/processes can mix more quickly than reversible counterparts, and so it is believed that harnessing non-reversibility could lead to faster MCMC algorithms for Bayesian computation. I’ll spend some time at the beginning of the talk discussing what is known about non-reversible processes, and building intuition. Then I will aim to draw several connections between many non-reversible MCMC methods in the literature, showing that each shares a common structure, which can be thought of as a particular type of non-reversibility, and can be reduced to simple expressions relating to the generator of the process. Using this structure we can compare different non-reversible processes, establishing simple Peskun-type orderings between them, which in turn prove some conjectures and strengthen some earlier results. This is joint work with Christophe Andrieu. |
Biography |