Computing Bayes: Bayesian Computation from 1763 to the 21st Century
Date: 19 November 2020, Thursday
Time: 10.30am AEDT
Contact the organizer: Andriy Olenko a.olenko@latrobe.edu.au
Speaker: Prof Gael M. Martin (Monash University)
Abstract:
The Bayesian statistical paradigm uses the language of probability to express uncertainty about the phenomena that generate observed data. Probability distributions thus characterize Bayesian inference, with the rules of probability used to transform prior probability distributions for all unknowns - models, parameters, latent variables - into posterior distributions, subsequent to the observation of data. Conducting Bayesian inference requires the evaluation of integrals in which these probability distributions appear. Bayesian computation is all about evaluating such integrals in the typical case where no analytical solution exists. This paper takes the reader on a chronological tour of Bayesian computation over the past two and a half centuries. Beginning with the one-dimensional integral first confronted by Bayes in 1763, through to recent problems in which the unknowns number in the millions, we place all computational problems into a common framework, and describe all computational methods using a common notation. The aim is to help new researchers in particular - and more generally those interested in adopting a Bayesian approach to empirical work - make sense of the plethora of computational techniques that are now on offer; understand when and why different methods are useful; and see the links that do exist, between them all.
Joint results with David T. Frazier (Monash University) and Christian P. Robert (University of Dauphine, Paris). The paper appears as an arXiv pre-print. We are revising it at the moment, but it won't change in its essence: https://arxiv.org/pdf/2004.06425.pdf
Link: Join from a PC, Mac, iOS or Android: https://latrobe.zoom.us/j/98357628534
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Dial: +61 2 8015 2088
Meeting ID: 983 5762 8534
International numbers available: https://latrobe.zoom.us/u/acAxlLgAVI
Or a H.323/SIP room system:
Dial: 98357628534@zoom.aarnet.edu.au
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Meeting ID: 98357628534
Or Skype for Business (Lync):
SIP:98357628534@lync.zoom.us
Date: 19 November 2020, Thursday
Time: 10.30am AEDT
Contact the organizer: Andriy Olenko a.olenko@latrobe.edu.au
Speaker: Prof Gael M. Martin (Monash University)
Abstract:
The Bayesian statistical paradigm uses the language of probability to express uncertainty about the phenomena that generate observed data. Probability distributions thus characterize Bayesian inference, with the rules of probability used to transform prior probability distributions for all unknowns - models, parameters, latent variables - into posterior distributions, subsequent to the observation of data. Conducting Bayesian inference requires the evaluation of integrals in which these probability distributions appear. Bayesian computation is all about evaluating such integrals in the typical case where no analytical solution exists. This paper takes the reader on a chronological tour of Bayesian computation over the past two and a half centuries. Beginning with the one-dimensional integral first confronted by Bayes in 1763, through to recent problems in which the unknowns number in the millions, we place all computational problems into a common framework, and describe all computational methods using a common notation. The aim is to help new researchers in particular - and more generally those interested in adopting a Bayesian approach to empirical work - make sense of the plethora of computational techniques that are now on offer; understand when and why different methods are useful; and see the links that do exist, between them all.
Joint results with David T. Frazier (Monash University) and Christian P. Robert (University of Dauphine, Paris). The paper appears as an arXiv pre-print. We are revising it at the moment, but it won't change in its essence: https://arxiv.org/pdf/2004.06425.pdf
Link: Join from a PC, Mac, iOS or Android: https://latrobe.zoom.us/j/98357628534
Or iPhone one-tap (Australia Toll): +61280152088,98357628534#
Or Telephone:
Dial: +61 2 8015 2088
Meeting ID: 983 5762 8534
International numbers available: https://latrobe.zoom.us/u/acAxlLgAVI
Or a H.323/SIP room system:
Dial: 98357628534@zoom.aarnet.edu.au
or SIP:98357628534@zmau.us
or 103.122.166.55
Meeting ID: 98357628534
Or Skype for Business (Lync):
SIP:98357628534@lync.zoom.us