Duke Probability Seminar
A seminar for the probability community at Duke, both in and outside of the Mathematics Department.
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- Thursday, April 27, 2017, 4:15pm, UNC, 125 Hanes Hall, Probability Seminar
A Dirichlet Form approach to MCMC Optimal Scaling
Wilfrid Kendall (U of Warwick)
- In this talk I will discuss the use of Dirichlet forms to deliver proofs of optimal scaling results for Markov chain Monte Carlo algorithms (specifically, Metropolis-Hastings random walk samplers) under regularity conditions which are substantially weaker than those required by the original approach (based on the use of infinitesimal generators). The Dirichlet form method has the added advantage of providing an explicit construction of the underlying infinite-dimensional context. In particular, this enables us directly to establish weak convergence to the relevant infinite-dimensional diffusion.
Zanella, G., Kendall, W. S., & Bédard, M. (2016). A Dirichlet Form
approach to MCMC Optimal Scaling.
arXiv, 1606.01528, 22pp. URL: arxiv.org/abs/1606.01528
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