[Lisa_seminaires] Alex Shestopaloff, Feb 10, 13:30, AA6214

Junyoung Chung elecegg at gmail.com
Ven 10 Fév 11:10:23 EST 2017


Hi all,

we will have a tea talk at 13:30, AA6214.
The talk will be given by Alex Shestopaoff, please find more details in my
previous email.

Best,

--Junyoung

On Mon, Feb 6, 2017 at 10:52 AM, Junyoung Chung <elecegg at gmail.com> wrote:

> Hi all,
>
> we will have a talk by Alex Shestopaoff on this Friday.
> Hope to see many of you there! :)
>
> *Title:* Sampling latent states for high-dimensional non-linear state
> space models with the embedded HMM method
>
> *Abstract:* We propose a new scheme for selecting pool states for the
> embedded Hidden Markov Model (HMM) Markov Chain Monte Carlo (MCMC) method.
> This new scheme allows the embedded HMM method to be used for efficient
> sampling of state sequences in state-space models where the state can be
> high-dimensional. Previously, embedded HMM methods were only applied to
> models with a one-dimensional state space. We demonstrate that using our
> proposed pool state selection scheme, an embedded HMM sampler can have
> similar performance to a well-tuned sampler that uses a combination of
> Particle Gibbs with Backward Sampling (PGBS) and Metropolis updates. The
> scaling to higher dimensions is made possible by selecting pool states
> locally near the current value of the state sequence. The proposed pool
> state selection scheme also allows each iteration of the embedded HMM
> sampler to take time linear in the number of the pool states, as opposed to
> quadratic as in the original embedded HMM sampler. We also consider a model
> with a multimodal posterior, and show how a technique we term ``mirroring''
> can be used to efficiently move between the modes. (Joint work with Radford
> M. Neal).
>
> *Bio:* Alex has graduated from U. of T (Prof. Radford Neal's group).
>
> Best,
> --Junyoung
>
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