Event Diary
CRiSM Seminar
Location: A1.01
Gersende Fort, ENST (Ecole Nationale Superieure Des Telecommunications, France
Stability of Markov Chains based on fluid limit techniques. Applications to MCMC
We propose a transformation of some Markov chains which will allow us to define its fluid limit: by renormalization in time, space, and initial value of the chain, we exhibit a time-continuous process which governs the dynamic of the initial chain. The goal is to identify the quantities that govern the ergodic behavior of the Markov chain, by showing their impact on the dynamics of the associated fluid process which, by definition, gives information on the transient steps of the chain. We will consider applications of these techniques to the choice of the design parameters of some MCMC samplers.
Stability of Markov Chains based on fluid limit techniques. Applications to MCMC
We propose a transformation of some Markov chains which will allow us to define its fluid limit: by renormalization in time, space, and initial value of the chain, we exhibit a time-continuous process which governs the dynamic of the initial chain. The goal is to identify the quantities that govern the ergodic behavior of the Markov chain, by showing their impact on the dynamics of the associated fluid process which, by definition, gives information on the transient steps of the chain. We will consider applications of these techniques to the choice of the design parameters of some MCMC samplers.