University of Cambridge > Talks.cam > Inference Group > Adaptive Monte Carlo Methods for Simulation and Optimization

  Browse A-Z

Log in

Cambridge users (raven)details Other usersdetails No account?details

Information on

Subscribing to talksdetails Finding a talkdetails Adding a talkdetails Disseminating talksdetails Help and Documentationdetails

Adaptive Monte Carlo Methods for Simulation and Optimization

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Phil Cowans.

When using Monte Carlo methods, it is of interest to adapt the proposal density to obtain faster convergence and more accurate estimation. In order to adapt the proposal, a Cross Entropy criterion is proposed, with some adaptive strategies based on Stochastic Approximation. A novel adaptive population MCMC algorithm is addressed. And how to use a mixture of distribution as proposal is also discussed. Moreover, these adaptations are also suitable for Importance Sampling.

These adaptive Monte Carlo methods are able to be optimization approaches by using some annealing scheme. To show the advantages, they are compared with related methods, e.g. Simulated Annealing.

For Bayesian Inference, a reversible jump version of adaptive Monte Carlo method is proposed to perform parameter estimation/optimization and model selection simultaneously. Variational method with above adaptive strategies forms another approach for approximating inference and learning under Bayesian model.

This talk is part of the Inference Group series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.

Other lists

Gastrointestinal Cancer Forum IoA Stellar Pops Acoustics Lab Seminars

Other talks

To be confirmed Introduction to the early detection of cancer and novel interventions A unifying theory of branching morphogenesis Magnetic Resonance on Two Scales for Research into Cell Cycle and Stroke Imaging techniques and novel tools for early detection and intervention BP KEYNOTE LECTURE: Importance of C-O Bond Activation for CO2/COUtilization - An Approach to Energy Conversion and Storage Scale and anisotropic effects in necking of metallic tensile specimens The ‘Easy’ and ‘Hard’ Problems of Consciousness Sneks long balus Malaria’s Time Keeping
 

© 2006-2024 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity