On two ways to use determinantal point processes for Monte Carlo integration

Gautier, Guillaume; Bardenet, Remi; Valko, Michal

Document type :

Autre communication scientifique (congrès sans actes - poster - séminaire...): Communication dans un congrès avec actes

Title :

On two ways to use determinantal point processes for Monte Carlo integration

Author(s) :

Gautier, Guillaume [Auteur]
Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 [CRIStAL]
Sequential Learning [SEQUEL]
Bardenet, Remi [Auteur]

Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 [CRIStAL]
Centre National de la Recherche Scientifique [CNRS]
Valko, Michal [Auteur]

Sequential Learning [SEQUEL]
DeepMind [London]

Conference title :

NEGDEPML 2019 - ICML Workshop on Negative Dependence in ML

City :

Long Beach, CA

Country :

Etats-Unis d'Amérique

Start date of the conference :

2019-06-14

HAL domain(s) :

Mathématiques [math]/Statistiques [math.ST]
Informatique [cs]/Apprentissage [cs.LG]

English abstract : [en]

This paper focuses on Monte Carlo integration with determinantal point processes (DPPs) which enforce negative dependence between quadrature nodes. We survey the properties of two unbiased Monte Carlo estimators of the ...
Show more >This paper focuses on Monte Carlo integration with determinantal point processes (DPPs) which enforce negative dependence between quadrature nodes. We survey the properties of two unbiased Monte Carlo estimators of the integral of interest: a direct one proposed by Bardenet & Hardy (2016) and a less obvious 60-year-old estimator by Ermakov & Zolotukhin (1960) that actually also relies on DPPs. We provide an efficient implementation to sample exactly a particular multidimen-sional DPP called multivariate Jacobi ensemble. This let us investigate the behavior of both estima-tors on toy problems in yet unexplored regimes.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

Centre de Recherche en Informatique, Signal et Automatique de Lille (CRIStAL) - UMR 9189

Source :

Harvested from HAL

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