Seminar: Divide and Conquer Sequential Monte Carlo: Some Properties and Applications

Abstract: I will describe the Divide and Conquer Sequential Monte Carlo (D&CSMC) framework, detail some recently established theoretical properties of this class of algorithms (including showing convergence and a central limit theorem hold under reasonably standard regularity assumptions) and detail a number of recent applications of this approach.

Adam is a professor in the Department of Statistics at the University of Warwick where he has been since 2008. He previously spent time in the School of Mathematics at the University of Bristol as a postdoctoral fellow, and the Department of Engineering at the University of Cambridge where he completed his PhD. His main research interests centre around computational statistics in general and Sequential Monte Carlo methods in particular.