Next Session - March 21, with Francesca Crucinio

[All About That Bayes]

Dear all,

The next session will be on March 21, 2023. 14:00, at AgroParisTech (22 place de l'Agronomie, 91123 Palaiseau), Room TBA (Teams link). We are very pleased to welcome Francesca Crucinio (ENSAE) who will talk about Optimal Scaling Results for a Wide Class of Proximal MALA Algorithms (abstract below).

Best regards,

The All about that Bayes organising team

Abstract
We consider a recently proposed class of MCMC methods which uses proximity maps instead of gradients to build proposal mechanisms which can be employed for both differentiable and non-differentiable targets. These methods have been shown to be stable for a wide class of targets, making them a valuable alternative to Metropolis-adjusted Langevin algorithms (MALA); and have found wide application in imaging contexts. The wider stability properties are obtained by building the Moreau-Yoshida envelope for the target of interest, which depends on a parameter $\lambda$. In this work, we investigate the optimal scaling problem for this class of algorithms, which encompasses MALA, and provide practical guidelines for the implementation of these methods.
Joint work with Alain Durmus, Pablo Jiménez, Gareth O. Roberts.