[Forum SIS] Seminario Y.W. TEH

[Matteo Ruggiero]

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CICLO DI SEMINARI - COLLEGIO CARLO ALBERTO
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Nell'ambito del ciclo di seminari organizzato dalla "de Castro Statistics Initiative" (www.carloalberto.org/stats), 
alle ore 12.00 di Giovedì 17 Novembre 2011, presso l'Aula Economics del Collegio Carlo Alberto, 
via Real Collegio 30, 10024, Moncalieri, Torino,

YEE WHYE TEH (University College London)

terra' un seminario dal titolo 

EFFICIENT MCMC FOR CONTINUOUS TIME DISCRETE STATE SYSTEMS

Abstract:
A variety of phenomena are best described using dynamical models which
operate on a discrete state space and in continuous time. Examples
include Markov jump processes, continuous time Bayesian networks,
renewal processes and other point processes, with applications ranging
from systems biology, neuroscience, genetics, computing networks and
human-computer interactions. Posterior computations typically involve
approximations like time discretization and can be computationally
intensive. In this talk I will describe our recent work on a class of
Markov chain Monte Carlo methods that allow efficient computations
while still being exact. The core idea is to use an auxiliary variable
Gibbs sampler based on uniformization, a representation of a
continuous time dynamical system as a Markov chain subordinated to a
Poisson process.


Tutti gli interessati sono invitati a partecipare.

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Matteo Ruggiero
University of Turin
http://web.econ.unito.it/ruggiero

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