Chris Oates Seminar

AUEB STATISTICS SEMINAR SERIES NOVEMBER 2020

Chris J Oates, Chair in Statistics, School of Mathematics, Statistics & Physics, Newcastle University, UK

Recasting Sampling as Optimisation via Stein's Method

ABSTRACT

There is a recent trend in computational statistics to move away from sampling methods and towards optimisation methods for posterior approximation. These include discrepancy minimisation, gradient flows and control functionals - all of which have the potential to deliver faster convergence than a Monte Carlo method. In this talk we will attempt to unify these emergent research themes in the context of Stein's method.

(Presentation slides can be found here)