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SUMMARY:Lecture on Sequential Monte Carlo Samplers by Nicolas Chopin\, ENSAE and Institut Polytechnique de Paris
DTSTART:20210120T130000Z
DTEND:20210120T150000Z
DTSTAMP:20210223T173346Z
LAST-MODIFIED:20210223T173346Z
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LOCATION:Online
DESCRIPTION:On 20 January 2021 Professor Nicolas Chopin will be offering a two-part lecture on Sequential Monte Carlo Samplers to the Compass Students.\n\nThe first part of the lecture will start with a brief introduction to sequential Monte Carlo (SMC) methods\, a powerful set of tools for learning and prediction in Feynman-Kac models\, a general class of models which notably encompasses state-space models. The second part of the lecture will focus on SMC samplers\, a particular type of SMC algorithms which are not directly related to state-space models and which can be used\, for instance\, to approximate the posterior distribution in Bayesian statistical models.\n\nNicolas Chopin is Professor of Statistics at the ENSAE and authors of several major contributions in the methodology and theory of SMC algorithms. He has recently published a book on this topic.
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