UQSay Seminar #28: Optimal thinning of MCMC Output

There is a recent trend in computational statistics to move away from sampling methods and towards optimisation methods for posterior approximation. These include discrepancy minimisation, gradient flows and control functionals—all of which have the potential to deliver faster convergence than a Monte Carlo method. In this talk we will see how ideas from discrepancy minimisation can be applied to the problem of optimal thinning of MCMC output.

Joint work with Marina Riabiz, Wilson Chen, Jon Cockayne, Pawel Swietach, Steve Niederer, Lester Mackey.