Paul Fearnhead
Wednesday 9th March 2016
Time: 4.00pm
Ground Floor Seminar Room
25 Howland Street, London, W1T 4JG
Piecewise-deterministic Markov Processes for Sequential Monte Carlo and MCMC
This talk will introduce piecewise-deterministic Markov processes, and show how they can be used to develop novel, continuous-time, variants of MCMC or SMC. A particular motivation for this work is to develop Monte Carlo methods that can sample from a posterior and that scale well to large-data.