The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Petros Dellaportas (Department of Statistical Science, University College London; Department of Statistics, Athens University of Economics and Business)
Can Independent Metropolis beat Monte Carlo?
Friday, January 12, 2024, 10:30 am, Building D4, Room D4.0.127

Abstract:
Assume that we would like to estimate the expected value of a function f with respect to a density π. We prove that if π is close enough under KL divergence to another density q, an independent Metropolis sampler estimator that obtains samplers from π with proposal density q, enriched with a variance reduction computational strategy based on control variates, achieves smaller asymptotic variance than the one from crude Monte Carlo. The control variates construction requires no computational effort but assumes that the expected value of f under q is available. We illustrate our results in marginal likelihood estimation problems. Furthermore, we propose an adaptive independent Metropolis algorithm and we demonstrate its applicability in Bayesian inference problems.

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar