International Conference on Monte Carlo techniques
Closing conference of thematic cycle

Paris July 5-8th 2016 
Campus les cordeliers
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Anytime Monte Carlo
Lawrence Murray  1@  
1 : Department of Statistics, University of Oxford  -  Website

Monte Carlo algorithms typically simulate some fixed number of samples, n, with the real time taken to do so a random variable, T(n). For the purposes of real-time deadlines, particularly in a distributed computing context, an alternative is to fix the real time, t, and allow the number of samples drawn in this time to be a random variable, N(t). Naive estimators constructed from these N(t) samples are not necessarily consistent, however, and in general exhibit length bias with respect to compute time. This talk will introduce a framework for dealing with the length bias for both iid and Markov chain Monte Carlo samplers, and demonstrate the utility of the approach on a large scale sequential Monte Carlo deployment on the Amazon EC2 cloud computing infrastructure.



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