20/11/2019
Radu Stoica (IECL)
Shadow Simulated Annealing algorithm: a new tool for global optimization and statistical inference

Radu Stoica (professeur Université de Lorraine, Institut Elie Cartan de Lorraine), fera un séminaire le 20 novembre de 14h à 16h en salle de réunion du 4e étage, 1er cycle de la FST Nancy.

 

Titre :  Shadow Simulated Annealing algorithm: a new tool for global optimization and statistical inference.

Résumé : This talk presents a new global optimisation method that applies to a family of criteria that are not entirely known. This family includes the criteria obtained from the class of posteriors that have normalising constants that are analytically not tractable. The procedure applies to posterior probability densities that are continuously differentiable with respect to their parameters. The proposed approach avoids the re-sampling needed for the classical Monte Carlo maximum likelihood inference, while providing the missing convergence properties of the ABC based methods.