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 djalil.chafai.net
How to speed up MCMC algorithms - Libres pensées d'un mathématicien ordinaire
| | setosa.io
Markov Chains
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| | [AI summary] A visual and practical explanation of Markov Chains, covering concepts like state spaces and transition matrices, with examples in weather modeling and Google's search algorithm.
| | darrenjw.wordpress.com
Unbiased MCMC with couplings - Darren Wilkinson's blog
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| | Yesterday there was an RSS Read Paper meeting for the paper Unbiased Markov chain Monte Carlo with couplings by Pierre Jacob, John O'Leary and Yves F. Atchadé. The paper addresses the bias in MCMC estimates due to lack of convergence to equilibrium (the "burn-in" problem), and shows how it is possible to modify MCMC algorithms...
| | jmlr.org
Optimal Transport for Stationary Markov Chains via Policy Iteration
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| | djalil.chafai.net
Three convex and compact sets of matrices - Libres pensées d'un mathématicien ordinaire
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| This post is devoted to few convex and compact sets of matrices that I like. The set \( {\mathcal{C}_n} \) of correlation matrices. A real \( {n\times n} \) matrix \( {C} \) is a correlation matrix when \( {C} \) is symmetric, semidefinite positive, with unit diagonal. This means that \[ C_{ii}=1, \quad C_{ji}=C_{ji},\quad \left\geq0 \] for every \(...