accelerating MCMC

As forecasted a rather long while ago (!), I wrote a short and incomplete survey on some approaches to accelerating MCMC. With the massive help of Victor Elvira (Lille), Nick Tawn (Warwick) and Changye Wu (Dauphine). Survey which current version just got arXived and which has now been accepted by WIREs Computational Statistics. The typology (and even the range of methods) adopted here is certainly mostly arbitrary, with suggestions for different divisions made by a very involved and helpful reviewer. While we achieved a quick conclusion to the review process, suggestions and comments are most welcome! Even if we cannot include every possible suggestion, just like those already made on X validated. (WIREs stands for Wiley Interdisciplinary Reviews and its dozen topics cover several fields, from computational stats to biology, to medicine, to engineering.)

7 Responses to “accelerating MCMC”

  1. By the way, there is an amusing typo in the arxiv version: “More precisely, Satan is a probabilistic programming language […].” I guess there was nothing there for a spell-checker to complain about.

  2. Pierre Jacob Says:

    Damn with all my (and my collaborators’) efforts to parallelize MCMC schemes with couplings, I didn’t even make it to my PhD advisor’s review on the topic. I guess that doesn’t bode well.

    • It is not too late..!!!

      • Pierre Jacob Says:

        If you didn’t think it was worth adding to the review, I just didn’t do a good enough job at explaining it.

      • No, no, no!, it was an omission of mine, to blame on my short attention span and my broken redaction of the survey. Don’t shoot the piano player! Coupling is already mentioned in the parallelising section and your paper fits naturally in the series of papers we quoted, making a definitive and practical improvement.

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