Wang-Landau algorithm

the Wang-Landau algorithm reaches the flat histogram in finite time

October 19, 2011 | xi'an

Pierre Jacob and Robin Ryder (from Paris-Dauphine, CREST, and Statisfaction) have just arXived (and submitted to the Annals of Applied Probability) a neat result on the Wang-Landau algorithm. (This algorithm, which modifies the target in a sort of reweighted partioned sampling to achieve faster convergence, has always been perplexing to ... [Read more...]

Adap’skiii [day 2]

January 5, 2011 | xi'an

Another exciting day at Adap’skiii!!! Yves Atchadé presented a very recent work on the fundamental issue of estimating the asymptotic variance estimation for adaptive MCMC algorithms, with an intriguing experimental observation that a non-converging bandwidth with rate 1/n was providing better coverage than the converging rate. (I always found ...
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