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Sequentially interacting Markov Chain Monte Carlo

Tuesday 31st October 2006 - 10:00 to 11:00
INI Seminar Room 1

We introduce a methodology to sample from a sequence of probability distributions and estimate their unknown normalizing constants. This problem is traditionally addressed using Sequential Monte Carlo (SMC) methods which rely on importance sampling/resampling ideas. We design here an alternative iterative algorithm. This algorithm is based on a sequence of interacting Markov chain Monte Carlo (MCMC) algorithms. We establish the convergence of this non-Markovian scheme and demonstrate this methodology on various examples arising in Bayesian inference.

(This is a joint work with Anthony E. Brockwell, Department of Statistics, Carnegie Mellon)

Presentation Material: 
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons