Jun Yang

Oxford


Stereographic MCMC


Statistics Seminar


18th November 2022, 2:00 pm – 3:00 pm
Fry Building, TBA


High dimensional distributions, especially those with heavy tails, are notoriously difficult for off-the-shelf MCMC samplers: the combination of unbounded state spaces, diminishing gradient information, and local moves, results in empirically observed "stickiness" and poor theoretical mixing properties -- lack of geometric ergodicity. In this talk, we introduce a new class of MCMC samplers that map the original high dimensional problem in Euclidean space onto a sphere and remedy these notorious mixing problems. In particular, we develop random-walk Metropolis type algorithms as well as versions of Bouncy Particle Sampler that are uniformly ergodic for a large class of light and heavy-tailed distributions and also empirically exhibit rapid convergence in high dimensions. In the best scenario, the proposed samplers can enjoy the ``blessings of dimensionality'' that the mixing time decreases with dimension.

(joint work with Krzysztof Łatuszyński and Gareth O. Roberts





Organiser: Juliette Unwin

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