Bayes Reading Group: Samuel Livingstone

Friday Apr 28, 2023, 11:00 AM → 12:00 PM America/New_York

3rd Floor Conference Room/3-Flatiron Institute (162 5th Avenue)

Discussion Lead: Samuel Livingstone

 

Topic: The Barker proposal: Combining robustness and efficiency in gradient‐based MCMC

 

Abstract: I will introduce a class of stochastic processes that can be defined on both discrete and continuous state spaces to have a user-specified invariant distribution.  I'll give some examples in both cases of how they can be used to design Monte Carlo algorithms, and try to give a selective review of the literature, some of which is my own work and some that of others.  I'll try to discuss a bit about each of these and also try to speculate a bit on wider use in both sampling and optimization if time permits.

 

Reference: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9303935/

Pedagogical intro: https://arxiv.org/pdf/2012.09731.pdf