Kernel Thinning and Stein Thinning
- đ¤ Speaker: Lester Mackey (Microsoft Research)
- đ Date & Time: Friday 15 October 2021, 16:00 - 17:00
- đ Venue: https://maths-cam-ac-uk.zoom.us/j/93998865836?pwd=VzVzN1VFQ0xjS3VDdlY0enBVckY5dz09
Abstract
This talk will introduce two new tools for summarizing a probability distribution more effectively than independent sampling or standard Markov chain Monte Carlo thinning:
1. Given an initial n point summary (for example, from independent sampling or a Markov chain), kernel thinning finds a subset of only square-root n points with comparable worst-case integration error across a reproducing kernel Hilbert space.
2. If the initial summary suffers from biases due to off-target sampling, tempering, or burn-in, Stein thinning simultaneously compresses the summary and improves the accuracy by correcting for these biases.
These tools are especially well-suited for tasks that incur substantial downstream computation costs per summary point like organ and tissue modeling in which each simulation consumes 1000s of CPU hours.
Series This talk is part of the Statistics series.
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Friday 15 October 2021, 16:00-17:00