2:00-3:00

Michael Pitt, King's College London

Title: Developments in particle filtering and MCMC

Abstract: In this talk I will give an overview of the developments of sequential Monte Carlo methods and the models to which they can be applied. I will talk about the design and implementation of the auxiliary particle filter. The use of particle filters in pseudo Metropolis Hastings will be introduced. The benefits and limitations of this approach will be highlighted. Optimisation, particularly in the choice of the number of particles, will be covered.

3:30-4:30

Speaker: Panayiota Touloupou (Warwick)

Title: Scalable inference for Markov and semi-Markov epidemic models

Abstract: Epidemiological data from infectious disease studies are very often gathered longitudinally, where a cohort of individuals is sampled through time. Inferences for this type of data are complicated by the fact that the data are usually incomplete, in the sense that the times of acquiring and clearing infection are not directly observed, making the evaluation of the model likelihood intractable. As a result, considerable progress has been made on developing techniques for imputation of the hidden state process, mainly using MCMC methods.

However, as the dimensionality and complexity of the data increases some of these methods become inefficient, either because they produce chains with high autocorrelation or because they become computationally intractable. Motivated by this fact, we develop a novel MCMC algorithm, which is modification of the Forward Filtering Backward Sampling algorithm, that achieves a good balance between computational complexity and mixing properties, and thus can be used to analyse epidemics on large populations. Even though our approach is developed under the assumption of a Markov model, we show how this assumption can be relaxed leading to minor modifications in the algorithm. The performance of our method is assessed on both simulated and real data, considering models with simple structure but also complex dynamics. Joint work with Simon Spencer and Barbel Finkenstadt.