- This event has passed.
National Institute for Applied Statistics Research Australia Seminar Series
February 20, 2019 @ 1:30 pm - 2:30 pm
Dr Michael Betancourt, principal research scientist, Symplectomorphic, LLC
Scalable Bayesian Inference with Hamiltonian Monte Carlo
Despite the promise of big data, inferences are often limited not by sample size but rather by systematic effects. Only by carefully modelling these effects can we take full advantage of the data — big data must be complemented with big models and the algorithms that can fit them. One such algorithm is Hamiltonian Monte Carlo, which exploits the inherent geometry of the posterior distribution to admit full Bayesian inference that scales to the complex models of practical interest. In this talk I will present a conceptual discussion of the challenges inherent to Bayesian computation and the foundations of why Hamiltonian Monte Carlo in uniquely suited to surmount them.