Seminar Details

Seminar Details


Jul 14

3:30 pm

Ergodic Limit Laws for Stochastic Optimization Problems

Chris Jennison


University of Bath, UK - Department of Statistics

Propp and Wilson's coupling from the past (CFTP) algorithm provides exact samples and, thus, an elegant alternative to convergence diagnostics for standard MCMC samplers. I shall explain how this method works and discuss some practicalities regarding its use in MCMC sampling.

Unfortunately the CFTP technique is only applicable when the distribution to be sampled possesses certain special properties. We propose a way to use the method's basic idea more generally and demonstrate that our algorithm works well in some quite challenging applications. Although our method is approximate, it comes with diagnostics to help assess and control the level of approximation.