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IMA Data Science Seminar - Jeffrey Rosenthal

Speaker: Jeffrey Rosenthal
Title: Adapting the Metropolis Algorithm
Abstract: The Metropolis Algorithm is an extremely useful and popular method of approximately sampling from complicated probability distributions. "Adaptive" versions automatically modify the algorithm while it runs, to improve its performance on the fly, but at the risk of destroying the Markov chain properties necessary for the algorithm to be valid. In this talk, we will illustrate the Metropolis algorithm using a very simple JavaScript example (http://probability.ca/jeff/js/metropolis.html). We will then discuss adaptive MCMC, and present examples and theorems concerning its ergodicity and efficiency.

Mar 23, 2021 01:25 PM in Central Time (US and Canada)