Category: delayed acceptance

optimal choice among MCMC kernels

Last week in Siem Reap, Florian Maire [who I discovered originates from a Norman town less than 10km from my hometown!] presented an arXived joint work with Pierre Vandekerkhove at the Data Science & Finance conference in Cambodia that considers the following problem: Given a large collection of MCMC kernels, how to pick the best […]

scalable Metropolis-Hastings

Among the flury of arXived papers of last week (414!), including a fair chunk of papers submitted to ICML 2019, I spotted one entry by Cornish et al. on scalable Metropolis-Hastings, which Arnaud Doucet had mentioned to me yesterday when in Oxford. The paper builds on the delayed acceptance paper we wrote with Marco Banterlé, […]