RSS online Discussion Meeting: Quasi-stationary Monte Carlo methods and the ScaLE algorithm

Date: Wednesday 24 June 2020, 5.00PM
Location: online
Discussion Paper Meeting

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DeMO pre-meeting: 3:30pm - 4:30pm

'Quasi-stationary Monte Carlo methods and the ScaLE algorithm' by Pollock et al.

Murray Pollock (University of Warwick, Coventry), Paul Fearnhead (University of Lancaster) and Adam M. Johansen and Gareth O. Roberts (University of Warwick, Coventry) 

The paper introduces a class of Monte Carlo algorithms which are based on the simulation of a Markov process whose quasi-stationary distribution coincides with a distribution of interest. This differs fundamentally from, say, current Markov chain Monte Carlo methods which simulate a Markov chain whose stationary distribution is the target. We show how to approximate distributions of interest by carefully combining sequential Monte Carlo methods with methodology for the exact simulation of diffusions. The methodology that is introduced here is particularly promising in that it is applicable to the same class of problems as gradient-based Markov chain Monte Carlo algorithms but entirely circumvents the need to conduct Metropolis-Hastings type accept-reject steps while retaining exactness: the paper gives theoretical guarantees ensuring that the algorithm has the correct limiting target distribution. Furthermore, this methodology is highly amenable to ‘big data’ problems. By employing a modification to existing naive subsampling and control variate techniques it is possible to obtain an algorithm which is still exact but has sublinear iterative cost as a function of data size.

We welcome your contributions to the discussion of the paper which will be published in Series B. Please check for details and to download the PDF preprint of the paper.

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Organised by the RSS Research Section