[Forum SIS] Seminario CASARIN

Matteo Ruggiero matteo.ruggiero a unipv.it
Mar 8 Mar 2011 09:48:28 CET


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		                 AVVISO DI SEMINARIO
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Martedi' 15 Marzo 2011, alle ore 14.00
presso il Dipartimento di Economia Politica e Metodi Quantitativi dell'Universita' di Pavia, 
via San Felice 5, Pavia, aula del Consiglio di Facolta' (primo piano)


ROBERTO CASARIN  (Dipartimento di Economia, Universita' Ca' Foscari di Venezia)


terra' un seminario dal titolo


INTERACTING MULTIPLE TRY ALGORITHMS WITH DIFFERENT PROPOSAL DISTRIBUTIONS


Abstract
We propose a new class of interacting Markov chain Monte Carlo (MCMC) algorithms designed for increasing the efficiency of a modified multiple-try Metropolis (MTM) algorithm. The extension with respect to the existing MCMC literature is twofold. The sampler proposed extends the basic MTM algorithm by allowing different proposal distributions in the multiple-try generation step. We exploit the structure of the MTM algorithm with different proposal distributions to naturally introduce an interacting MTM mechanism (IMTM) that expands the class of population Monte Carlo methods. We show the validity of the algorithm and discuss the choice of the selection weights and of the different proposals. We provide numerical studies which show that the new algorithm can perform better than the basic MTM algorithm and that the interaction mechanism allows the IMTM to efficiently explore the state space.
(joint con Leisen, F. e Craiu, R. V.)


Tutti gli interessati sono invitati a partecipare.


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Matteo Ruggiero
University of Pavia
http://economia.unipv.it/ruggiero



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