On the ordering of some nonreversible Markov chain and Markov process Monte Carlo methods
Duration: 44 mins 39 secs
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About this item
| Description: |
Andrieu, C
Wednesday 5th July 2017 - 11:45 to 12:30 |
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| Created: | 2017-07-21 14:33 |
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| Collection: | Scalable inference; statistical, algorithmic, computational aspects |
| Publisher: | Isaac Newton Institute |
| Copyright: | Andrieu, C |
| Language: | eng (English) |
| Distribution: |
World
(downloadable)
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| Explicit content: | No |
| Aspect Ratio: | 16:9 |
| Screencast: | No |
| Bumper: | UCS Default |
| Trailer: | UCS Default |
| Abstract: | We will show how one can derive simple criteria to order the asymptotic variance of a broad class of Monte Carlo algorithms based on Markov chains or processes. Interestingly these results mirror existing results for algorithms based on reversible processes.
Joint work with Sam Livingstone. |
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