Methodology and theory for unbiased MCMC.

Lead Research Organisation: Lancaster University
Department Name: Mathematics and Statistics

Abstract

As the power and thermal limits of silicon are being reached, modern computing is moving towards increased parallelism. Fast computation is primarily achieved through the usage of many independent processors, which split up and perform the computation task simultaneously. This poses a challenge for Markov chain Monte Carlo, the gold standard of statistical computing, which is an inherently sequential procedure.
A recently-proposed methodology enables principled parallel processing for Markov chain Monte Carlo and offers the potential to overcome this challenge. While straightforward to implement, the method may incur a significant computational overhead, rendering it impracticable unless the number of available processors is in the order of thousands, or even more.
This project aims to enhance the practicality of the aforementioned methodology, making it competitive with other methods even when the number of processors is in the tens or hundreds. The focus is on: 1) reducing the computational overhead, either through direct refinements or by applying post-processing techniques, and 2) producing practical guidelines for the optimal performance of the new methodology, through theoretical analyses. The work undertaken in this project will be of use to practitioners and researchers who rely on simulation to draw conclusions from their statistical models, throughout science, technology, engineering, and mathematics.

In partnership with University College Dublin (Ireland).

Publications

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Studentship Projects

Project Reference Relationship Related To Start End Student Name
EP/S022252/1 01/10/2019 31/03/2028
2284954 Studentship EP/S022252/1 01/10/2019 30/09/2023 Tamas Papp