Presented by:
Michel Manon
Date:
Tuesday 18th July 2017 - 12:10 to 12:50
Venue:
INI Seminar Room 1
Abstract:
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.
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