Seminar: What we talk about when we talk about non-reversible MCMC

SpeakerSam Livingstone
AffiliationUCL Statistical Science
DateFriday, 09 Mar 2018
Time13:00 - 14:00
LocationRoberts Building G08 Sir David Davies LT
Event seriesDeepMind CSML Seminar Series
Description

There has been much recent interest in designing MCMC methods that exploit some form of non-reversibility. It has been known for some time that non-reversible Markov chains/processes can mix more quickly than reversible counterparts, and so it is believed that harnessing non-reversibility could lead to faster MCMC algorithms for Bayesian computation.

I’ll spend some time at the beginning of the talk discussing what is known about non-reversible processes, and building intuition. Then I will aim to draw several connections between many non-reversible MCMC methods in the literature, showing that each shares a common structure, which can be thought of as a particular type of non-reversibility, and can be reduced to simple expressions relating to the generator of the process. Using this structure we can compare different non-reversible processes, establishing simple Peskun-type orderings between them, which in turn prove some conjectures and strengthen some earlier results.

This is joint work with Christophe Andrieu.

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