ABC and Monte Carlo seminar in CREST

On Monday (Jan. 16, 3pm, CRESTENSAE, Room S08), Nicolas Chopin will present a talk on:

Dealing with intractability: recent advances in Bayesian Monte-Carlo methods for intractable likelihoods
(joint works with P. Jacob, O. Papaspiliopoulos and S. Barthelmé)

This talk will start with a review of recent advancements in Monte Carlo methodology for intractable problems; that is problems involving intractable quantities, typically intractable likelihoods. I will discuss in turn ABC type methods (a.k.a. likelihood-free), auxiliary variable methods for dealing with intractable normalising constants (e.g. the exchange algorithm), and MC² type of algorithms, a recent extension of which being the PMCMC algorithm (Andrieu et al., 2010). Then, I will present two recent pieces of work in these direction. First, and more briefly briefly, I’ll present the ABC-EP algorithm (Chopin and Barthelmé, 2011). I’ll also discuss some possible future research in ABC theory. Second, I’ll discuss the SMC² algorithm (Chopin, Jacob and Papaspiliopoulos, 2011), a new type of MC² algorithm that makes it possible to perform sequential analysis for virtually any state-space models, including models with an intractable Markov transition.

3 Responses to “ABC and Monte Carlo seminar in CREST”

  1. […] Nicolas Chopin gave his talk at CREST. While he tried to encompass as much as possible of the background on ABC for a general audience […]

  2. Hossein Baghishani Says:

    Hi Christian,

    Could you please tell me the book, articles, technical reports or others I have to refer first if I want to start learning ABC, especially, and dealing intractable likelihoods, generally?

    Regards,
    Hossein

    • Hi Hossein: there is no book that I know at the moment focussing on ABC… On the other hand, there are a lot of surveys and such. First, there are several surveys by Marc Beaumont, incl. his 2002 paper. Then if you want to experiment with software and realistic population genetic problems, there is the DIY-ABC software developped by Jean-Marie Cornuet and some colleagues. The new version has just been released. (There is also an R package called abc by Michael Blum and co-authors.) From there, you can look at the various papers mentioned on the ‘Og, of course!

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