All About That Bayes - Reboot session with Arnaud Guyader, February 22, 16:00

[Julien Stoehr]

Dear all,

after a year of absence, we will have a reboot session of our seminar on February, 22 at 16:00 (AgroParisTech, room to be announced). We will have the pleasure to listen to Arnaud Guyader who will give a talk "On the Asymptotic Normality of Adaptive Multilevel Splitting" (abstract below).

We are sorry for the quite late notice, but we hope to see you there!

Kind regards,

The organising team

Abstract: Adaptive Multilevel Splitting (AMS) is a Sequential Monte Carlo method for Markov processes that simulates rare events and estimates associated probabilities. Despite its practical efficiency, there are almost no theoretical results on the convergence of this algorithm. The purpose of this talk is to prove both consistency and asymptotic normality results in a general setting. This is done by associating to the original Markov process a level-indexed process, also called a stochastic wave, and by showing that AMS can then be seen as a Fleming-Viot type particle system. This is a joint work with Frédéric Cérou, Bernard Delyon, and Mathias Rousset.