[Forum SIS] seminar @Chalmers/GU: "Introducing Zig-Zag Sampling and making it applicable", Alice Corbella, 19 October

[Umberto Picchini]

You are welcome to the next Statistics seminar at Dept of Mathematical 
Sciences at Chalmers and Göteborg University.

We are very glad to have, on Tuesday 19  October,​Alice Corbella 
(Warwick Uni.) who will talk of:

/"//Introducing Zig-Zag Sampling and making it applicable"/
*//*

*​Abstract *

Recent research showed that Piecewise Deterministic Markov Processes 
(PDMP) may be exploited to design efficient MCMC algorithms [1]. The 
Zig-Zag sampler is an example of this: it is based on the simulation of 
a PDMP whose switching rate /λ/(t) is governed by the derivative of a 
(minus log) target density.

While many theoretical properties of this sampler have been derived, 
less has been done to explore the applicability of the Zig-Zag sampler 
to solve Bayesian inference problems. In particular, the computation of 
the derivative of the log-density in the rate /λ/(t) might be 
challenging. To expand the applicability of the Zig-Zag sampler, we 
incorporate Automatic Differentiation tools in the Zig-Zag algorithm, to 
evaluate /λ/(t) from the functional form of the log-target density. 
Moreover, to allow the simulation of a PDMP via Poisson thinning, we use 
univariate optimization routines to find local upper bounds.

In this talk we introduce PDMPs and the Zig-Zag sampler; we expose our 
Automatic Zig-Zag sampler; we discuss the challenges that arise with the 
simulation via thinning and the need of a new tuning parameter; and we 
comment on efficiencies and bottlenecks of AD for Zig-Zag. We present 
many examples to compare our method to HMC, another widely used 
gradient-based method.

This is joint work with Simon Spencer and Gareth Roberts.

[1] Fearnhead, P., Bierkens, J., Pollock, M., and Roberts, G.O., 2018. 
Piecewise deterministic Markov processes for continuous-time Monte 
Carlo. Statistical Science, 33(3), pp.386-412. *
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*Feel free to spread this announcement in your network.*
*
*
*Where*: *room PASCAL and zoom* (physical attendance in Pascal is very 
welcome)
https://chalmers.zoom.us/j/63909697211
  Password: 219826

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*When*: Tuesday 19 October at 14.15-15.15 CEST (= Swedish time).

About the speaker
Corbella

Alice Corbella is a Post-Doctoral Research Associate of the Bayes4Health 
<https://www.lancaster.ac.uk/newbayes/> collaboration, a project that 
aims at developing new advanced methods to tackle health problems.
Her current interests are MCMC methods, particularly focussing on the 
Zig-Zag sampling and its application to Bayesian inference of infectious 
disease dynamics from epidemic data.
Her webpage 
<https://warwick.ac.uk/fac/sci/statistics/staff/academic-research/corbella/>.











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-- 
_________________________________________________________
Umberto Picchini, Associate Professor, PhD, Docent
https://umbertopicchini.github.io/  , twitter: @uPicchini
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