Talk by François Portier on the 12th of November: title & abstract

[sylvain.lecorff]

Dear all,

On tuesday 12th of November at 3p.m., we will have the pleasure of welcoming François Portier, Assistant Professor at Telecom Paris and specialist of Monte Carlo methods & Semiparametric statistics (https://sites.google.com/site/fportierwebpage/).

The talk will take place in room 39C at AgroParisTech (16 rue Claude Bernard, Aile Arbalete, 2nd floor).

Title
On adaptive importance sampling: theory and methods

Abstract

Adaptive importance sampling (AIS) uses past samples to update the sampling policy qt at each stage t. Each stage t is formed with two steps : (i) to explore the space with nt points according to qt and (ii) to exploit the current amount of information to update the sampling policy. In this talk, I will present different AIS methods and show that they are optimal in some sense.

All relevant information on the seminar may be found here: https://sites.google.com/view/all-about-that-bayes/

Best,
Alain Durmus, Pierre Gloaguen, Julien Stoehr and Sylvain Le Corff