[Forum SIS] Seminario CHOPIN

[Matteo Ruggiero]

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STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO
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Venerdi' 21 Febbraio 2014 alle ore 12:00, 
presso la sala rossa del Collegio Carlo Alberto, 
Moncalieri (TO), si terra' il seguente seminario:


Nicolas CHOPIN (ENSAE, France)
	
SEQUENTIAL QUASI MONTE CARLO


Abstract:
We develop a new class of algorithms, SQMC (Sequential 
Quasi Monte Carlo), as a variant of SMC (Sequential Monte 
Carlo) based on low-discrepancy points. The complexity of 
SQMC is O(N log N) where N is the number of simulations at 
each iteration, and its error rate is smaller than the Monte 
Carlo rate O(N^{-1/2}). The only requirement to implement 
SQMC is the ability to write the simulation of particle x_t^n 
given x_{t-1}^n as a deterministic function of x_{t-1}^n and 
uniform variates. We show that SQMC is amenable to the 
same extensions as standard SMC, such as forward 
smoothing, backward smoothing, unbiased likelihood 
evaluation, and so on. In particular, SQMC may replace SMC 
within a PMCMC (particle Markov chain Monte Carlo) 
algorithm. We establish several convergence results. We 
provide numerical evidence in several difficult scenarios 
than SQMC significantly outperforms SMC in terms of 
approximation error.
Joint work with Mathieu Gerber.


Tutti gli interessati sono invitati a partecipare.

Il seminario e' organizzato dalla "de Castro" Statistics Initiative
(http://www.carloalberto.org/stats) in collaborazione con il 
Collegio Carlo Alberto.

Cordiali saluti, 
Matteo Ruggiero

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Matteo Ruggiero
University of Torino & Collegio Carlo Alberto
http://web.econ.unito.it/ruggiero