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On the ordering of some nonreversible Markov chain and Markov process Monte Carlo methods

Presented by: 
Christophe Andrieu University of Bristol
Date: 
Wednesday 5th July 2017 - 11:45 to 12:30
Venue: 
INI Seminar Room 1
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.

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