Wednesday, March 9, 2016 - 4:10pm
Event Calendar Category
Other LIDS Events
Speaker Name
Austin Collins
Affiliation
LIDS
Building and Room number
LIDS 6th floor lounge (Bldg 32, Dreyfoos Tower)
Abstract
If you want to do MCMC, but are tired of worrying about burn in times, step sizes, and hoping that ergodicity works in your favor, this may be the method for you*. I'll give a description of a very cool MCMC algorithm called "coupling from the past", which generates perfect samples from your target distribution. The method is based on finding a random function representation of a Markov chain, then composing the random function "backward" until it maps the entire state space to a single point. I'll introduce the concepts of random function representation of Markov chains, and then describe the method, and then maybe have a discussion on it's practicality.
*This of course comes at the price of often not often having an efficient algorithm to run procedure.
About LIDS Tea: LIDS Tea talks are 20 minute long informal presentations for the purpose of sharing ideas and making others aware about some of the topics that may be of interest to the LIDS audience. If you are interested in presenting in the upcoming seminars, please email Marzieh Parandehgheibi or Yasin Yazicioglu.