8月11日戴宏声(University of Essex)学术报告
 
  发布时间: 2017-07-14  
 




学术报告


报告题目:Application of Exact diffusion process simulation to Consensus Monte Carlo

报 告 人: Dr  Dai Hongsheng(戴宏声)

           Department of Mathematics, University of Essex

时    间:811(星期五)上午 9:00

地    点:统计研究院426教室

摘    要:This talk introduces a new exact simulation method, which simulates a realisation from a proposal density and then uses exact simulation of a Langevin diffusion to check whether the proposal should be accepted or rejected. Comparing to the existing coupling from the past method,  the new method does not require constructing fast coalescence Markov chains. Comparing to the existing rejection sampling method, the new method does not require the proposal density function to bound the target density function. The new method is much more efficient than existing methods for certain problems. An application on exact simulation of the posterior of finite mixture models is presented. This research also considers using coupled Langevin diffusions to simulate a sample from the target distribution. The proposed method is equivalent to, simulating independent samples from different probability densities and then combining these simulated independent samples to a realisation which is exactly from the target distribution. The approximate version of this new approach will have potential application in the research areas which needs to combine information from different resources.





报告人简介:

Dr. Dai undertook his undergraduate study in Applied Mathematics at Tianjin University and then he went on to do his MSc in Statistics (with Professor Shuyuan He) at Peking University. He studied for his D.Phil. at University of Oxford and now works at University of Essex. He is interested in various research areas in statistical methodology and statistical applications, including Bayesian computational statistics, mixture models, graphical models, diffusion models, queuing models, nonparametric statistics, survival analysis and longitudinal analysis.

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