**************************************************************** STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO ****************************************************************
Venerdi' 21 Febbraio 2014 alle ore 12:00, presso la sala rossa del Collegio Carlo Alberto, Moncalieri (TO), si terra' il seguente seminario:
Nicolas CHOPIN (ENSAE, France) SEQUENTIAL QUASI MONTE CARLO
Abstract: We develop a new class of algorithms, SQMC (Sequential Quasi Monte Carlo), as a variant of SMC (Sequential Monte Carlo) based on low-discrepancy points. The complexity of SQMC is O(N log N) where N is the number of simulations at each iteration, and its error rate is smaller than the Monte Carlo rate O(N^{-1/2}). The only requirement to implement SQMC is the ability to write the simulation of particle x_t^n given x_{t-1}^n as a deterministic function of x_{t-1}^n and uniform variates. We show that SQMC is amenable to the same extensions as standard SMC, such as forward smoothing, backward smoothing, unbiased likelihood evaluation, and so on. In particular, SQMC may replace SMC within a PMCMC (particle Markov chain Monte Carlo) algorithm. We establish several convergence results. We provide numerical evidence in several difficult scenarios than SQMC significantly outperforms SMC in terms of approximation error. Joint work with Mathieu Gerber.
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Il seminario e' organizzato dalla "de Castro" Statistics Initiative (http://www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto.
Cordiali saluti, Matteo Ruggiero
--------- Matteo Ruggiero University of Torino & Collegio Carlo Alberto http://web.econ.unito.it/ruggiero