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CATEGORIES:MRC Biostatistics Unit Seminars
SUMMARY:BSU Seminar: “Quasi Markov Chain Monte Carlo Metho
ds” - Dr. Ben Calderhead\, Imperial College London
DTSTART;TZID=Europe/London:20180220T143000
DTEND;TZID=Europe/London:20180220T153000
UID:TALK101710AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/101710
DESCRIPTION:Generalised Metropolis-Hastings is a Markov chain
Monte Carlo (MCMC) method that was introduced to a
llow for parallelisation by proposing multiple sam
ples in each iteration\, such that the stationary
distribution is still the correct target density.
In this more recent work\, we prove that the cons
istency property still holds true when the driving
sequence of pseudo-random numbers is replaced by
completely uniformly distributed (c.u.d.) numbers.
In essence this allows us to combine ideas from
Quasi Monte Carlo with Markov chain Monte Carlo.
In this talk I’ll present ideas used to construct
this new Monte Carlo method\, along with the resul
ts of initial numerical simulations that confirm o
ur theoretical result\, and suggest a scaling of o
rder n^-1 as we increase parallelisation instead
of the usual n^-1/2 convergence rate of standard M
CMC methods.
LOCATION:Large Seminar Room\, 1st Floor\, Institute of Publ
ic Health\, University Forvie Site\, Robinson Way\
, Cambridge
CONTACT:Alison Quenault
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