Past Events

  • 2019 Mar 06

    STAT 300: Wenshuo Wang

    12:00pm to 1:00pm

    Location: 

    SC 705

    Title: Metropolized Knockoff Sampling

    Abstract: Model-X knockoffs is a wrapper that transforms essentially any feature importance measure into a variable selection algorithm, which discovers true effects while rigorously controlling the expected fraction of false positives. A frequently discussed challenge to apply this method is to construct knockoff variables, which are synthetic variables obeying a crucial exchangeability property with the explanatory variables under study. This paper introduces techniques for knockoff generation in great...

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  • 2019 Feb 20

    STAT 300: Assistant Professor Pierre Jacob

    12:00pm to 1:00pm

    Location: 

    SC 705

    Title: Recent developments on unbiased Monte Carlo methods

    Abstract: Monte Carlo estimators, based on Markov chains or interacting particle systems, are typically biased when run with a finite number of iterations (or a finite number of particles). Although this is usually considered unavoidable, and negligible in the usual asymptotic sense, it is an important obstacle on the path towards scalable numerical integration on large-scale distributed computing systems. In a series of works that build on the seminal paper of Glynn and Rhee (2014), a...

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