Workshop on Adaptive Monte Carlo
organised by
and sponsored by
Following an enthustiastic reponse to the earlier workshop in 2005, this workshop is intended to provide an updated snapshot of the methodological and theoretical advances in Monte Carlo methods with an emphasis on adaptive Monte Carlo methods in the broad sense (adaptive MCMC, adaptive population Monte Carlo, and various breeds of adaptive importance sampling amongst others), that is algorithms that attempt to automatically optimise their performance to a given task.
The
workshop will consist of 4 half-day sessions and two poster sessions
and will be held in the conference room of the "Banca Popolare di
Sondrio" (whose support we gratefully acknowledge) next to the
Rezia
Hotel .
There will be breaks on both afternoons in order to allow both informal
discussions and relaxation (skiing!).
There will be an informal poster session
on the evening (9-11pm) of Tuesday 8th January, which
will take at the Rezia Hotel's bar. If you would like to present a
poster, please submit a short abstract to either Christian Robert (
xian(chez)ceremade(dot)dauphine(dot)fr
) or Christophe Andrieu
(
c(dot)andrieu(chez)bris(dot)ac(dot)uk
) and we will notify acceptance
at a later date.
Yves Atchade (Michigan)
|
Gareth Roberts (Warwick) |
Kasper Berthelsen (Lancaster) |
Scott Sisson (New South Wales) |
Nicolas Chopin (CREST, Insee Paris) |
Johannes Thoms (EPFL) |
Radu Craiu (Toronto) |
Richard Everitt (Qinetiq) |
Jean-Michel Marin (Insee, Paris) |
Tony Lelievre (ENPC, Paris) |
Robert Kohn (New South Wales) |
|
Posters - Tuesday evening session
Erik Bloomquist
Cajo J.F. ter Braak
Roberto Casarin
J. Andrés Christen
Jukka Corander
James Flegal
Aude Grelaud
Tanzy Love
Krzysztof Latuszynski
Fabrizio Leisen
Oliver Ratmann
Christian Robert
Arkady Shemyakin
Antti Solonen
Katarina Domijan
H.K. van Dijk
Petr Volf
Dawn Woodard
|
Sunday 6, 8-10pm: Welcoming
talk Banca Popolare di Sondrio |
| 8:30pm Robert Kohn,
University of New South Wales "Adaptive Independent Metropolis-Hastings by Fast Estimation of Mixtures of Normals" |
|
Monday 7, 8:30-12:15am: Session
1 |
| 8:30 Jean-Michel Marin,
Insee "Adaptive Importance Sampling in General Mixture Classes" |
| 9:30 Richard Everitt, Qinetiq "The Bayesian Modeling Toolkit: What Would You Like it To Do?" |
| 10:30-11am: Coffee break |
| 11:00 Scott Sisson,
University of New South Wales "On sequential Monte Carlo samplers for likelihood-free computation" |
| Monday 7,
apres-ski (4:30-7pm): Session 2 Banca Popolare di Sondrio |
| 4:30-5am: Coffee break |
| 5:00 Tony
Lelievre, Ecole Nationale des Ponts "Adaptive methods in molecular dynamics" |
| 6:00 Yves
Atchade, University of Michigan "Some recent advances on adaptive MCMC methods" |
| Monday
7, after dinner (8:30-9:30pm) Banca Popolare di Sondrio |
| 8:30-9:30 Gersende
Fort, ENST Paris "Fluid limit-based tuning of some hybrid MCMC samplers" |
| Tuesday 8,
8:30-12am: Session 3 Banca Popolare di Sondrio |
| 8:30 Gareth
Roberts, University of Warwick "Some examples of adaptive MCMC" |
| 9:30 Kasper
Berthelsen "Posterior sampling in the presence of unknown normalising constants: An adaptive pseudo-marginal approach" |
| 10:30-11am: Coffee break |
| 11:00 Nicolas
Chopin, CREST-ENSAE, Paris "A theoretical and methodological discussion of nested sampling" |
| Tuesday 11,
apres-ski(4:30-7pm): Session 4 Banca Popolare di Sondrio |
| 4:30-5am: Coffee break |
| 5:00 Radu Craiu,
University of Toronto "Adaptive Ideas for Metropolis-Hastings samplers" |
| 6:00 Johannes Thoms
(EPFL) "Adaptive MCMC for improved sampling" |
| Tuesday 11
, after dinner (9-11pm): Posters session
(A-L) Banca Popolare di Sondrio |
The workshop Adapski will be held in a conference room near the Rezia Hotel. Attendants are thus advised to make reservations in this hotel at their earliest convenience.
There should be busses leaving the airport of Milano Malpensa on Sunday January 6, arriving in time to get settled, to have diner and to attend Robert Kohn's talk! Attendants driving from home or renting a car should consider registering for the car-pool facility on the MCMCski website to reduce the number of cars in use for this workshop...
The closing date for travel support for young investigators is October 20, check details on the MCMCski website.
