skip to content

Event-chain algorithms: taming randomness in Monte Carlo methods through irreversibility, factorization and lifting

Presented by: 
Michel Manon Orange Lab
Tuesday 18th July 2017 - 12:10 to 12:50
INI Seminar Room 1
I will first present the irreversible and rejection-free Monte Carlo methods recently developed in Physics under the name Event-Chain. They have proven to produce clear acceleration over standard Monte Carlo methods, thanks to the reduction of their random-walk behavior. Their irreversible nature relies on three key ingredients: the factorized filter, the generalized lifting framework and the infinitesimal moves.  Then, I will focus on the new Forward Event-Chain version that allows to reduce the randomization needed for ergodicity, leading to a striking speed-up. Finally, I will explain how the factorized filter may be the key to subsampling in Monte Carlo methods.

The video for this talk should appear here if JavaScript is enabled.
If it doesn't, something may have gone wrong with our embedded player.
We'll get it fixed as soon as possible.
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons