MCMC and Particle Methods: Sampling, Inference and Stochastic Approximation

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MCMC and Particle Methods: Sampling, Inference and Stochastic Approximation

 05 - 08 Sep 2016
 ICMS, 15 South College Street Edinburgh

Scientific Organisers:

  • Alexandros Beskos, University College London

  • Gonçalo dos Reis, University of Edinburgh

  • Gavin Gibson, Heriot-Watt University

  • Michela Ottobre, Heriot-Watt University

  • Lukasz Szpruch, University of Edinburgh

The increasing popularity of MCMC algorithms and the need to tackle problems of growing complexity have brought high demands on the efficiency of this class of sampling methods, which are often undeniably costly. The answer to such demands has produced both a higher level of sophistication in the design of MCMC algorithms and the introduction of alternative approaches. In particular, the sampling and stochastic approximation landscape has been noticeably enriched by the introduction of Sequential Monte Carlo (SMC) algorithms and (stochastic) Cubature Methods (CM), both of them most often practically implemented in conjunction with the by now renowned particle methods (and with MCMC as well).

The aim of this workshop was to expose the participants and interested faculty to the most recent developments in the field of statistical sampling and stochastic approximation; and to have a truly interdisciplinary event, with the objective of fostering interactions between scientists involved in theoretical developments of sampling methods and those that use such algorithms in applied research.

Speakers:

  • Daniela de Angelis, Medical Reserch Council - Towards Computationally Efficient Inference for Influenza Dynamic Models

  • Antonietta Mira, Università della Svizzera Italiana and Università dell'Insubria - Adaptive Incremental Mixture Markov Chain Monte Carlo

  • Nikolas Kantas, Imperial College London - Towards Particle Filtering for Signals Arising from Dissipative Stochastic PDEs

  • Peter Jan Van Leeuwen, University of Reading - Implicit Localisation for Particle Filters in High-Dimensional Geophysical Systems

  • Mike Christie, Heriot-Watt University - Multi-Level Hamiltonian Monte Carlo for Quantifying Uncertainty in Reservoir Simulation

  • Gavin Gibson, Heriot-Watt University - Data Augmentation and its Role in Bayesian Assessment of Spatio-Temporal Models

  • Sumeetpal Singh, University of Cambridge - Blocking Strategies and Stability of Particle Gibbs Samplers

  • Prashant Mehta, University of Illinois - Gain Function Approximation in Feedback Particle Filter

  • Grigorios Pavliotis, Imperial College London - Optimal Langevin Samplers

  • Claudia Shillings, University of Warwick - Analysis of the Ensemble Kalman Filter

  • Daniel Clark, Heriot-Watt University - Modelling and Estimating Multiple Objects

  • Sebastian Reich , University of Potsdam - Linear Ensemble Transform Filters for Models

  • Joris Bierkens, University of Warwick - Super-Efficient Sampling Using Zig Zag Monte Carlo

  • Darren Wilkinson, Newcastle University - Scalable Algorithms for Markov Process Parameter Inference

 

Photographs are available here.

Participants

Name
Institution
Angesh, AnupamUniversity of Sheffield
Alexandros, BeskosUniversity College London
Joris, BierkensUniversity of Warwick
Mike, ChristieHeriot-Watt University
Daniel, ClarkHeriot-Watt University
Dan, CrisanImperial College London
Ross, DavidsonSRUC/Bioss
Daniela, De AngelisMRC Biostatistics Unit
Gonçalo, dos ReisUniversity of Edinburgh
Arnaud, DoucetUniversity of Oxford
Andrew, DuncanImperial College London
Ilya, FursovHeriot-Watt University
Gavin, GibsonHeriot-Watt University
Magnus, JamiesonUniversity of Strathclyde
Anastasia, KadochnikovaUniversity of Sheffield
Nikolas, KantasImperial College London
Ruth, KingUniversity of Edinburgh
Oana-Andrea, LangImperial College London and University of Reading
Ben, LeimkuhlerUniversity of Edinburgh
Gabriel, LordHeriot Watt University
Florian, MaireUniversity College Dublin
Prashant, MehtaUniversity of Illinois at Urbana-Champaign
Julian, MerciecaUniversity of Sheffield
Antonietta, MiraUniversità della Svizzera Italiana, Switzerland and Università dell’Insubria, Italy
Adamantios, NtakarisTampere University of Technology
Nik, NueskenImperial College London
Michela, OttobreHeriot-Watt University
Grigorios, PavliotisImperial College London
Murray, PollockWarwick
Jamie, PrenticeUniversity of Glasgow
Sebastian, ReichUniversity of Potsdam
Gareth, RobertsUniversity of Warwick
Matthias, SachsUniversity of Edinburgh
Claudia, SchillingsUniversity of Warwick
Sumeetpal, SinghUniversity of Cambridge
Konstantinos, SpiliopoulosBoston University
Lukasz, SzpruchUniversity of Edinburgh
Simon, TindemansImperial College London
Murat, UneyUniversity of Edinburgh
Peter Jan, van LeeuwenUniversity of Reading
Sebastian, VollmerUniversity of Oxford
Darren, WilkinsonNewcastle University