##### Department of Mathematics,

University of California San Diego

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### Math 278C: Optimization and Data Science

## Prof. Yian Ma

#### UCSD

## MCMC, variational inference, and reverse diffusion Monte Carlo

##### Abstract:

I will introduce some recent progress towards understanding the scalability of Markov chain Monte Carlo (MCMC) methods and their comparative advantage with respect to variational inference. I will fact-check the folklore that "variational inference is fast but biased, MCMC is unbiased but slow". I will then discuss a combination of the two via reverse diffusion, which holds promise of solving some of the multi-modal problems. This talk will be motivated by the need for Bayesian computation in reinforcement learning problems as well as the differential privacy requirements that we face.

Host: Jiawang Nie

### February 14, 2024

### 3:00 PM

APM 7321

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