WEBINARS IN STATISTICS @ COLLEGIO CARLO ALBERTO https://www.carloalberto.org/research/webinars/

Venerdì 22 Maggio 2020, alle ore 12:00, si terrà il seguente webinar:

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Pierre JACOB (Harvard University)

*Unbiased Markov chain Monte Carlo with couplings*

Abstract:

Various tasks in statistics involve numerical integration, for which Markov chain Monte Carlo (MCMC) methods are state-of-the-art. MCMC methods yield estimators that converge to integrals of interest in the limit of the number of iterations. This iterative asymptotic justification is not ideal; first, it stands at odds with current trends in computing hardware, with increasingly parallel architectures; secondly, the choice of "burn-in" or "warm-up" is arduous. This talk will describe recently proposed estimators that are unbiased for the expectations of interest while having a finite computing cost and a finite variance. They can thus be generated independently in parallel and averaged over. The method also provides practical upper bounds on the distance (e.g. total variation) between the marginal distribution of the chain at a finite step and its invariant distribution. The key idea is to generate "faithful" couplings of Markov chains, whereby pairs of chains coalesce after a random number of iterations. This talk will provide an overview of this line of research.

(joint work with John O'Leary, Yves Atchadé)

Paper at:

https://rss.onlinelibrary.wiley.com/doi/abs/10.1111/rssb.12336

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Chiunque volesse collegarsi al webinar è pregato di inviare una email entro mercoledi 20 Maggio a

pierpaolo.deblasi@unito.it

Il webinar è organizzato dalla "de Castro" Statistics Initiative

www.carloalberto.org/stats

in collaborazione con il Collegio Carlo Alberto.

Cordiali saluti,

Pierpaolo De Blasi

--- University of Torino & Collegio Carlo Alberto carloalberto.org/pdeblasi https://sites.google.com/a/carloalberto.org/pdeblasi/