Learn from Thy Neighbour: Parallel-Chain Adaptive MCMC
- Date: 04/15/2008
Radu Craiu (University of Toronto)
University of British Columbia
A considerable amount of effort has been recently invested in developing a comprehensive theory for adaptive MCMC. In comparison, there are fewer adaptive algorithms designed for practical situations. I will review some of the theoretical approaches used for proving convergence of non-Markovian adaptation schemes and will discuss scenarios for which the original adaptive Random-Walk Metropolis is unsuitable. Alternative adaptive schemes involving inter-chain and regional adaptation are discussed. Some of the proposed solutions involve theoretical questions that are still open.A considerable amount of effort has been recently invested in developing a comprehensive theory for adaptive MCMC. In comparison, there are fewer adaptive algorithms designed for practical situations. I will review some of the theoretical approaches used for proving convergence of non-Markovian adaptation schemes and will discuss scenarios for which the original adaptive Random-Walk Metropolis is unsuitable. Alternative adaptive schemes involving inter-chain and regional adaptation are discussed. Some of the proposed solutions involve theoretical questions that are still open.
For more information on Radu Craiu, please visit: http://www.utstat.toronto.edu/craiu/
The lecture will be held at:
Leonard S. Klinck 301, 6356 Agricultural Road, UBC
Tue 15th April 2008
