Pseudo-Marginal Slice Sampling

Iain Murray (University of Edinburgh)

Friday 26th February, 2016 15:00-16:00 Maths 522


This talk is about sampling from probability distributions in a
challenging setting: we can only compute noisy (but unbiased)
estimates of the probability density function at individual
settings of variables we choose. Previous work on such
"pseudo-marginal" methods have been used in inference problems
in genetics, continuous time stochastic processes, hierarchical
models, and "doubly-intractable" distributions. I'll present
algorithms that are easier to apply than previous work and
sometimes work a lot better.

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