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DTSTART:20230312T070000
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DTSTART;TZID=America/Toronto:20231027T160000
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URL:/statistics-and-actuarial-science/events/david-spro
 tt-distinguished-lecture-jeffrey-rosenthal
SUMMARY:David Sprott Distinguished Lecture by Jeffrey Rosenthal
CLASS:PUBLIC
DESCRIPTION:Summary \n\nDistinguished Lecture Series\n\nJEFFREY ROSENTHAL\n
 _University of Toronto_\n\nRoom: DC 1302\n\nSPEEDING UP METROPOLIS USING T
 HEOREMS\n\n-------------------------\n\nMarkov chain Monte Carlo (MCMC) al
 gorithms\, such as the Metropolis\nalgorithm\, are designed to converge to
  complicated high-dimensional\ntarget distributions\, to facilitate sampli
 ng.  The speed of this\nconvergence is essential for practical use.  In 
 this talk\, we will\npresent several theoretical results which can help im
 prove the\nMetropolis algorithm's convergence speed.  Specific topics wil
 l\ninclude: diffusion limits\, optimal scaling\, optimal proposal shape\,\
 ntempering\, adaptive MCMC\, the Containment property\, and the notion of\
 nadversarial Markov chains.  The ideas will be illustrated using the\nsim
 ple graphical example available at probability.ca/met.  No\nparticular ba
 ckground knowledge will be assumed.\n\n-------------------------\n 
DTSTAMP:20250517T093636Z
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