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ROSHAN VENGAZHIYIL - Georgia Tech

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Bayesian Computation Using Design of Experiments-Based Interpolation Technique
When
04 April 2013 from 4:00 PM to 5:00 PM
Where
201 Thomas Bldg.
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In this talk, I will introduce a new deterministic approximation method for Bayesian computation known as Design of Experiments-based Interpolation Technique (DoIt). The method works by sampling points from the parameter space using an experimental design and then fitting a kriging model to interpolate the unnormalized posterior. The approximated posterior density is a weighted average of normal densities and therefore, most of the posterior quantities can be easily computed. DoIt is a general computing technique which is easy to implement and can be applied to many complex Bayesian problems. Moreover, it does not suffer from the curse of dimensionality as much as some quadrature methods. It can work using fewer posterior evaluations, which is a great advantage over the Monte Carlo and Markov chain Monte Carlo methods especially when dealing with computationally expensive posteriors.

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