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ANC SEMINAR: A* Sampling Chris Maddison, University of Toronto

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PLEASE NOTE THAT THIS SEMINAR IS BEING HELD ON MONDAY 11MAY15

What
  • ANC/DTC Seminar
When May 11, 2015
from 11:00 AM to 12:00 PM
Where IF Room 4.31/4.33
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Abstract:
The problem of drawing samples from a discrete distribution can be converted into a discrete optimization problem. In this work, we show how sampling from a continuous distribution can be converted into an optimization problem over continuous space. Central to the method is a stochastic process recently described in mathematical statistics that we call the Gumbel process. We present a new construction of the Gumbel process and A* sampling, a practical generic sampling algorithm that searches for the maximum of a Gumbel process using A* search. We analyze the correctness and convergence time of A* sampling and demonstrate empirically that it makes more efficient use of bound and likelihood evaluations than the most closely related adaptive rejection sampling-based algorithms.

 

http://www.cs.toronto.edu/~cmaddis/