On the ordering of some nonreversible Markov chain and Markov process Monte Carlo methods
- π€ Speaker: Christophe Andrieu (University of Bristol)
- π Date & Time: Wednesday 05 July 2017, 11:45 - 12:30
- π Venue: Seminar Room 1, Newton Institute
Abstract
We will show how one can derive simple criteria to order the asymptotic variance of a broad class of Monte Carlo algorithms based on Markov chains or processes. Interestingly these results mirror existing results for algorithms based on reversible processes.
Joint work with Sam Livingstone.
Series This talk is part of the Isaac Newton Institute Seminar Series series.
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Christophe Andrieu (University of Bristol)
Wednesday 05 July 2017, 11:45-12:30