Reflections on piecewise deterministic Monte Carlo - VVSOR - VVSOR

Vereniging voor Statistiek en Operations Research
09 November 2018

Reflections on piecewise deterministic Monte Carlo

The next Bayes club meeting will be on the 9th of November (Friday) again between 4 pm and 5pm at UvA.

Speaker: Joris Bierkens (TU Delft)
Title: Reflections on piecewise deterministic Monte Carlo
Time: 16:00-17:00, 9th of November, 2018
Location: room F3.20, Science Park 107, Amsterdam


In recent years piecewise deterministic Markov processes (PDMPs) have
emerged as a promising alternative to classical MCMC algorithms. In
particular these PDMP based algorithms have good convergence properties
and allow for efficient subsampling.
Although many different PDMP based algorithms can be designed, two
algorithms play fundamental roles: the Bouncy Particle sampler and the
Zig-Zag sampler.
In this talk both algorithms will be introduced and a comparison of
properties of these algorithms will be presented, including recent
results on ergodicity and on scaling with respect to dimension.

joint work with Pierre-André Zitt, Kengo Kamatani and Gareth Roberts