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DTSTART:20250330T010000
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DTSTART:20251026T010000
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DTSTART;VALUE=DATE:20250211
DTEND;VALUE=DATE:20250212
DTSTAMP:20260710T092324
CREATED:20250210T153115Z
LAST-MODIFIED:20250210T153115Z
UID:17881-1739232000-1739318399@crest.science
SUMMARY:A connection between Tempering SMC and Entropic Mirror Descent
DESCRIPTION:International Seminar on Monte Carlo Methods\nA weekly online seminar on all aspects of Monte Carlo methods. \nJoin us weekly to explore recent developments and connect with a diverse community of passionate researchers in this exciting field! \nVideos of past talks available on YouTube. \n\n\nSpeaker: Nicolas Chopin (ENSAE\, Institut Polytechnique de Paris) [Zoom Link] \n\n\nTitle: A connection between Tempering SMC and Entropic Mirror Descent \n\n\nAbstract: In this talk\, I will discuss the connections between tempering (for Sequential Monte Carlo; SMC) and entropic mirror descent to sample from a target probability distribution whose unnormalized density pi is known. My co-authors and myself have established that tempering SMC corresponds to entropic mirror descent applied to the reverse Kullback-Leibler (KL) divergence and obtain convergence rates for the tempering iterates. Our result motivates the tempering iterates from an optimization point of view\, showing that tempering can be seen as a descent scheme of the KL divergence with respect to the Fisher-Rao geometry\, in contrast to Langevin dynamics that perform descent of the KL with respect to the Wasserstein-2 geometry. We exploit the connection between tempering and mirror descent iterates to justify common practices in SMC and derive adaptive tempering rules that improve over other alternative benchmarks in the literature. \n\n\nhttps://sites.google.com/view/monte-carlo-seminar/home \n
URL:https://crest.science/event/a-connection-between-tempering-smc-and-entropic-mirror-descent/
CATEGORIES:Conferences and Workshops,Statistics
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