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parallel MCMC

Yesterday, I remotely took part in the thesis defence of Balazs Nemeth, at Hasselt University, Belgium. As the pandemic conditions were alas still too uncertain to allow for travelling between France and Belgium… The thesis is about parallel strategies for speeding up MCMC, although the title is “Message passing computational methods with pharmacometrics applications”, as the thesis was suppported by Johnson & Johnson. (The defence was in English, as I do not understand a word of Dutch…)  Among the solutions, distributed affine-invariant sampling à la Goodman & Weare, speculative parallelism for SMC, and an automated parallelisation for hierarchical models that is the core input of the thesis. These methods were not associated with designing new MCMC algorithms but rather intended to take advantage of parallelisation for existing MCMC algorithms, which meant issues like asynchronicity or data splitting were not considered therein. I however found the work in the thesis innovative and promising and the PhD candidate was awarded the title by the jury at the end of the defence!

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