Rencontres Statistiques du CEREMADE (Samuel GRUFFAZ, lundi 20 octobre 2025)

La prochaine séance des Rencontres statistiques du CEREMADE aura lieu le lundi 20 octobre 2025 à 13h45 en salle P303. Nous aurons le plaisir d'écouter Samuel GRUFFAZ (ENS Paris-Saclay), qui nous parlera de

Demystifying Markov Chain Monte Carlo (MCMC): Convergence Theory and Practical Tuning

Abstract
Markov Chain Monte Carlo (MCMC) methods are used to approximately sample from a target probability distribution, which is useful in Bayesian computation and, more generally, in numerical approximation.
In theory, we must ensure that the Markov chain underlying an MCMC method converges to the target distribution. In practice, the goal is to tune the hyperparameters to achieve fast convergence and make the MCMC algorithm efficient.
In this presentation, I will demystify these topics and highlight the link between theory and applications through the lens of my own research.