MCMC convergence in Athens (back)

athens1While I remain somehow disappointed by my trip to the Acropole, I bring back ideas and directions from the MCMC workshop. As indicated earlier, this was a very small meeting with “only” eight people, in the same spirit as the “kitchen workshops” we used to run during the blessed days of the HSSS program, more than ten years ago… I am thus quite thankful to Petros Dellaportas and to Ioannis Kontoyiannis for creating this great opportunity for intense if relaxed exchanges on Monte Carlo methods!

Posters at auebPosters at aueb

PASO poster (C.) Sean MeynAmong those directions, I found a renewed interest in doing  (Dirichlet?) non-parametrics in Markov settings, following a talk by Persi Diaconis,  and in studying further control variates in connection with past and recent Rao-Blackwellisation papers of mine, following talks by Petros Dellaportas and Susan Holmes, while discussions with Christophe Andrieu opened new vistas for ABC approximation. Sean Meyn’s talk contained an interesting example of a very slowly converging Markov chain, with a neat presentation of the corresponding reasons at the large deviation level. Both Christophe Andrieu and Eric Moulines gave talks about adaptive schemes that showed me how fast things were moving in this area. Here are the slides of the talk I gave, mostly recycled from earlier talks already posted:

The pictures posted here were taken by Sean Meyn and myself inside the university (AUEB) building, where a fierce and political campaign for the students’ union seemed to be raging! I particularly like the (Leninist) PAΣ-EAAK poster of the May 68 students with a code-bared étudiant(e) from a more recent French demonstration…

KKE tag in aueb (C.) Sean MeynAUEB

One Response to “MCMC convergence in Athens (back)”

  1. […] within the conjugate prior/Gibbs sampling framework. The second difficulty is also met by Dellaportas and Kontoyiannis, who show that the asymptotic variance of the resulting central limit can be equal to zero in some […]

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