D. Danilo Alvares de la Universidad de Sao Paulo, Brasil , el día 26 de maig de 2016 a les 12 hores, al Saló de Graus de la Facultat de Matemàtiques, impartirà la conferència A sequential Monte Carlo method, particles and the Metropolis-Hastings algorithm

Abstract:

A sequential Monte Carlo method, particles, and the Metropolis-Hastings algorithm

In this talk we show the operation of a sequential Monte Carlo (SMC) algorithm. As prerequisite to understand it, we discuss the
Metropolis-Hastings algorithm and also illustrate the general idea of particle-based methods. The SMC algorithm presented here is a particular case of the sequential methods, where the objective is to update the posterior distribution in "static" models.