Donnerstag
20
SEP

16.15 Uhr

Polynomial Acceleration of MCMC:

Prof. Colin Fox, University of Otago (NZ), Department of Physics

Standard Markov chain Monte Carlo (MCMC) algorithms perform a stationary linear iteration on the space of probability distributions, and hence converge geometrically. Stationary linear solvers were state-of-the-art in the 1950’s, but are now considered very slow precisely because they are geometrically convergent. We show that the same polynomial acceleration methods that have been developed for linear iterative solvers may also be applied to accelerating MCMC, in certain settings.

Prof. Fox is the most recently appointed Romberg Visiting Scholar at the HGS MathComp.

Adresse

Mathematikon

Seminar Room A / Ground Floor

Im Neuenheimer Feld 205

69120 Heidelberg

Homepage Veranstaltung

www.iwr.uni-heidelberg.de/events

Veranstalter

Interdisciplinary Center for Scientific Computing (IWR)

Homepage Veranstalter

www.iwr.uni-heidelberg.de

Kontakt

Office Prof. Guido Kanschat