Publications
- Adaptive Equi-Energy Sampler : Convergence and Illustration, Amandine Schreck, Gersende Fort and Éric Moulines, publishd in ACM Trans. Model. Comput. Simul., 23(1), 5:1--5:27, January 2013.
- A shrinkage-thresholding Metropolis adjusted Langevin algorithm for Bayesian variable selection, Amandine Schreck, Gersende Fort, Sylvain Le Corff end Éric Moulines, published in IEEE Journal of Selected Topics in Signal Processing (vol.10, NO. 2, March 2016, pages 365-375)
- Convergence of Markovian Stochastic Approximation with discontinuous dynamics, Gersende Fort, Éric Moulines, Amandine Schreck and Matti Vihola, published in SIAM Journal on Control and Optimization (Vol. 54, Issue 2, pp. 866-893, 2016)
Code
- ees_C.tar.gz : code in C for the adaptive equi-energy sampler and its variations (help in the readme.txt file)
- stmala_C.tar.gz : code in C for the "shrinkage-thresholding Metropolis adjusted Langevin algorithm" and an example of use (help in the readme.txt file)
- stmala_matlab.tar.gz : code in matlab for the "shrinkage-thresholding Metropolis adjusted Langevin algorithm" and an example of use (help in the readme.txt file)
Presentations in international conferences
- Adaptive Equi-Energy Sampler : Convergence and Illustration, 8th world congress in probability and statistics, Istanbul 2012 (talk on the algorithm: "Adaptive Equi-Energy Sampler" - slides ).
- Adaptive versions of the Equi-Energy Sampler, 15th Annual Winter Workshop: New Directions in Monte Carlo Methods, January 2013, Gainesville (poster).
- A Bayesian Method for Sparse Regression, 9th IMACS Seminar on Monte Carlo Methods, July 2013, Annecy-le-vieux (France) (talk - slides ).
- A Shrinkage-Thresholding Metropolis adjusted Langevin algorithm for Bayesian Variable Selection, Fifth IMS-ISBA joint meeting MCMSki IV, January 2013, Chamonix (France) (poster).