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Exponential convergence of adaptive importance sampling algorithms for Markov chains

Where:  TU Delft, Faculty EWI, Mekelweg 4, Lecture hall D@ta.
When:  27th of November 2017 tot 24th of November 2017
Starttime  16:00

On Monday (27/11/2017), we have another interesting talk in our Probability and Statistics seminar series at TU Delft.
All of you are very welcome.

Ludolf Meester (TU Delft)

When: Monday November 27th, 16:00
Where: TU Delft, Faculty EWI, Mekelweg 4, Lecture hall D@ta.

Exponential convergence of adaptive importance sampling algorithms for Markov chains 

These algorithms orginate in the field of particle transport analysis, but the structure of the problems is quite general: a Markov chain is run and per transition a "reward" is earned; this continues until the process hits a "graveyard set." Quantity of interest is the expected total reward.  In the original problem the reward is energy dissipated, but other problems also fit in: rare event simulations in various settings (reward is 1 for the transition into the graveyard and 0 otherwise); finding the largest eigenvalue of a nonnegative matrix. 

A recent paper answers the following question: for which of this kind of Markov chain problems can a so-called filtered estimator be found in combination with a Markov importance measure under which this estimator has variance zero. Adaptive importance sampling algorithms aim to approach this zero variance measure on-the-fly and already two special cases were known for which this works: the resulting sequence of estimates converges at an exponential rate. For a while I thought that finding a general convergence proof would be impossible, but in recent months I have made some progress with this. In the talk I will describe the proof including the part where the conditions are not weak enough to my liking---maybe you have an idea.... 

 

More details on the seminar's website:
https://www.tudelft.nl/en/eemcs/the-faculty/departments/applied-mathematics/applied-probability/events/seminars/

More information:  [comment]
Telephone:  [rooster_phone]
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Climate Change, Statistics, and Operations Research

Jaarbeurs
28th of March 2018 - 29th of March 2018 Read more...


7th Stochastic Modelling meeting (StochMod 2018)

13th of June 2018 - 15th of June 2018 Read more...

ACM SIGMETRICS FOR 2018

Irvine, California, USA
18th of June 2018 - 22nd of June 2018 Read more...


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