Piecewise Deterministic Markov Processes for Markov Chain Monte Carlo

When and Where

Thursday, February 28, 2019 3:30 pm to 4:30 pm
Room SS1070
Sidney Smith Hall
100 Saint George Street Toronto, ON M5S 3G3


Gareth Roberts (University of Warwick)


This talk will describe non-reversible MCMC methods based on Piecewise Deterministic Markov Processes focussing mostly on the Zig-Zag algorithm. Basic properties of the algorithms will be described including the so-called super-efficiency for Bayesian inference for tall data, whereby MCMC iterations can be carried out under a small fraction of the computational cost of full likelihood evaluation.


100 Saint George Street Toronto, ON M5S 3G3