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Stability and examples of some approximate MCMC algorithms.
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Medina Aguayo, Felipe Javier (2017) Stability and examples of some approximate MCMC algorithms. PhD thesis, University of Warwick.
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Official URL: http://webcat.warwick.ac.uk/record=b3066199~S15
Abstract
Approximate Monte Carlo algorithms are not uncommon these days, their applicability is related to the possibility of controlling the computational cost by introducing some noise or approximation in the method. We focus on the stability properties of a particular approximate MCMC algorithm, which we term noisy Metropolis-Hastings. Such properties have been studied before in tandem with the pseudo-marginal algorithm, but under fairly strong assumptions. Here, we examine the noisy Metropolis-Hastings algorithm in more detail and explore possible corrective actions for reducing the introduced bias. In this respect, a novel approximate method is presented, motivated by the class of exact algorithms with randomised acceptance. We also discuss some applications and theoretical guarantees of this new approach.
Item Type: | Thesis (PhD) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Library of Congress Subject Headings (LCSH): | Markov processes, Monte Carlo method, Hidden Markov models, Stochastic processes | ||||
Official Date: | January 2017 | ||||
Dates: |
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Institution: | University of Warwick | ||||
Theses Department: | Mathematics Institute | ||||
Thesis Type: | PhD | ||||
Publication Status: | Unpublished | ||||
Supervisor(s)/Advisor: | Roberts, Gareth Owen, 1964- ; Lee, Anthony | ||||
Sponsors: | Engineering and Physical Sciences Research Council ; Consejo Nacional de Ciencia y TecnologĂa (Mexico) | ||||
Format of File: | |||||
Extent: | ix, 137 leaves : illustrations, charts | ||||
Language: | eng |
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