RSS Ordinary Meeting: Sequential Quasi-Monte-Carlo Sampling

 
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RSS discussion paper meetings

Wednesday 10 December 2014, 05:00pm - 07:00pm

 
Location Royal Statistical Society, 12 Errol Street, London, EC1Y 8LX

Authors Mathieu Gerber (Université de Lausanne and CREST, Paris, France) and Nicolas Chopin (CREST-ENSAE, Paris) present the paper: Sequential Quasi-Monte-Carlo Sampling.
'We derive and study sequential quasi-Monte-Carlo (SQMC) sampling, a class of algorithms obtained by introducing QMC point sets in particle filtering. SQMC sampling is related to, and may be seen as an extension of, the array randomized QMC algorithm of L’Ecuyer and his colleagues. The complexity of SQMC sampling 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. We show that SQMC sampling is amenable to the same extensions as standard SMC sampling, such as forward smoothing, backward smoothing and unbiased likelihood evaluation. In particular, SQMC may replace SMC sampling within a particle Markov chain Monte Carlo algorithm. We establish several convergence results. We provide numerical evidence that SQMC sampling may significantly outperform SMC sampling in practical scenarios.'

Attendees can register by email to This email address is being protected from spambots. You need JavaScript enabled to view it.. Tea and coffee will be available from 4.30pm.

A PDF of the pre-print is available to download.
 

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Organiser Name Judith Shorten

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