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Sampling with non-reversible dynamics

Presented by: 
Michela Ottobre Heriot-Watt University
Date: 
Tuesday 18th July 2017 - 12:50 to 13:30
Venue: 
INI Seminar Room 1
Abstract: 
In recent years the observation that "irreversible processes converge to equilibrium faster than their reversible counterparts" has sparked a significant amount of research to exploit irreversibility within sampling schemes, thereby accelerating convergence of the resulting Markov Chains. It is now understood how to design irreversible continuous-time dynamics with prescribed invariant measure. However, for sampling/simulation purposes, such dynamics still need to undergo discretization and, as it is well known, naive discretizations can completely destroy all the good properties of the continuous-time process.  In this talk we will i) give some background on irreversibility  ii) present some pros and cons of using irreversible proposals within reversible schemes (Joint work with K. Spiliopoulos and N. Pillai).



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