HEC Montréal, Canada, 2 - 4 mai 2011

Journées de l'optimisation 2011

HEC Montréal, Canada, 2 — 4 mai 2011

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MAP Séance plénière I / Plenary Session I

2 mai 2011 09h00 – 10h00

Salle: Amphithéâtre IBM

Présidée par Jean-Francois Plante

1 présentation

  • 09h00 - 10h00

    Optimising and Adapting the Metropolis Algorithm

    • Jeffrey Rosenthal, prés., University of Toronto

    The Metropolis algorithm is a very popular method of approximately sampling from complicated probability distributions, especially those arising in Bayesian inference. A wide variety of proposal distributions are available, and it can be difficult to choose among them. We will discuss optimal proposals under various circumstances. We will also consider the possibility of having the computer automatically "adapt" the algorithm while it runs, to improve and tune on the fly.