Λέσχη Φίλων Στατιστικής - GrStats forum
AUEB Stats Seminars 10/12/2021: Variance reduction for MCMC estimators by  Angelos Alexopoulos  (University of Cambridge) Forumgrstats

Join the forum, it's quick and easy

Λέσχη Φίλων Στατιστικής - GrStats forum
AUEB Stats Seminars 10/12/2021: Variance reduction for MCMC estimators by  Angelos Alexopoulos  (University of Cambridge) Forumgrstats
Λέσχη Φίλων Στατιστικής - GrStats forum
Would you like to react to this message? Create an account in a few clicks or log in to continue.
Για προβλήματα εγγραφής και άλλες πληροφορίες επικοινωνήστε με : grstats.forum@gmail.com ή grstats@stat-athens.aueb.gr

Go down
grstats
grstats
Posts : 923
Join date : 2009-10-21
http://stat-athens.aueb.gr/~grstats/

AUEB Stats Seminars 10/12/2021: Variance reduction for MCMC estimators by  Angelos Alexopoulos  (University of Cambridge) Empty Re: AUEB Stats Seminars 10/12/2021: Variance reduction for MCMC estimators by Angelos Alexopoulos (University of Cambridge)

Thu 9 Dec 2021 - 11:17
Το επόμενο σεμινάριο του Τμήματος Στατιστικής για την Παρασκευή 10/12/2021
grstats
grstats
Posts : 923
Join date : 2009-10-21
http://stat-athens.aueb.gr/~grstats/

AUEB Stats Seminars 10/12/2021: Variance reduction for MCMC estimators by  Angelos Alexopoulos  (University of Cambridge) Empty AUEB Stats Seminars 10/12/2021: Variance reduction for MCMC estimators by Angelos Alexopoulos (University of Cambridge)

Wed 20 Oct 2021 - 18:26
AUEB Stats Seminars 10/12/2021: Variance reduction for MCMC estimators by  Angelos Alexopoulos  (University of Cambridge) 2122_a16


Presenter: Angelos Alexopoulos
Research Associate, MRC Biostatistics Unit, University of Cambridge, UK

Date: Friday 10/12/2021, 13:30

Title: Variance reduction for MCMC estimators

Abstract
We provide a general methodology to construct control variates for any discrete time random walk Metropolis and Metropolis-adjusted Langevin algorithm. By adopting the  proposed methods we achieve, in a post-processing manner and with a negligible additional computational cost, impressive variance reduction when compared to the standard MCMC ergodic averages. Our proposed estimators are based on an approximate solution of the Poisson equation for multivariate Gaussian target densities of any dimension.

This is joint work with P. Dellaportas (UCL and AUEB) and M. Titsias (DeepMind)

Link: https://teams.microsoft.com/l/meetup-join/19%3a0fe3bd7e094a4ccfacecb92ce36cfe69%40thread.tacv2/1631393377331?context=%7b%22Tid%22%3a%22ad5ba4a2-7857-4ea1-895e-b3d5207a174f%22%2c%22Oid%22%3a%22381c5dc1-ed77-403a-9d53-e2db51c33563%22%7d
Back to top
Permissions in this forum:
You cannot reply to topics in this forum