Computational Mathematics and Statistics Seminar by Simon Mak: Population Quasi-Monte Carlo
Speaker:
Simon Mak, Assistant Professor, Department of Statistical Science at Duke University
Title:
Population Quasi-Monte Carlo
Abstract:
Monte Carlo methods are widely used for approximating complicated, multidimensional integrals for Bayesian inference. Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to generate weighted samples that approximate the target distribution. The generic PMC framework iterates over three steps: samples are simulated from a set of proposals, weights are assigned to such samples to correct for mismatch between the proposal and target distributions, and the proposals are then adapted via resampling from the weighted samples. When the target distribution is expensive, PMC can be prohibitively costly since it requires many evaluations of the distribution. To address this, we propose a new Population Quasi-Monte Carlo (PQMC) framework, which integrates Quasi-Monte Carlo ideas within the sampling and adaptation steps of PMC. A key novelty in PQMC is the idea of importance support points resampling, a deterministic method for finding an “optimal” subsample from the weighted proposal samples. Within the PQMC framework, we develop an efficient covariance adaptation strategy for multivariate normal proposals. Lastly, a new set of correction weights is introduced for the weighted PMC estimator to improve the efficiency from the standard PMC estimator. We demonstrate the improved empirical convergence of PQMC over PMC in extensive numerical simulations and a friction drilling application.
Event contact:
Computational Mathematics and Statistics
Register for Zoom Link