The ninety-sixth UQSay seminar on UQ, DACE and related topics will take place online on Thursday afternoon, March 12, 2026.
2–3 PM — Richard Everitt (Department of Statistics, University of Warwick)
Improved MCMC with active subspaces
Constantine et al. (2016) introduced a Metropolis-Hastings (MH) approach that target the active subspace of a posterior distribution: a linearly projected subspace that is informed by the likelihood.. Schuster et al. (2017) refined this approach to introduce a pseudo-marginal Metropolis-Hastings, integrating out inactive variables through estimating a marginal likelihood at every MH iteration. In this talk we show empirically that the effectiveness of these approaches is limited in the case where the linearity assumption is violated, and suggest a particle marginal Metropolis-Hastings algorithm as an alternative for this situation. The high computational cost of these approaches leads us to consider alternative approaches to using active subspaces in MCMC that avoid the need to estimate a marginal likelihood: we introduce Metropolis-within-Gibbs and Metropolis-within-particle Gibbs methods that provide a more computationally efficient use of the active subspace.
References:
Joint work with Leonardo Ripoli (University of Reading)
Organizing committee: Pierre Barbillon (MIA-Paris), Julien Bect (L2S), Nicolas Bousquet (EDF R&D), Vincent Chabridon (EDF R&D), Amélie Fau (LMPS), Filippo Gatti (LMPS), Clément Gauchy (CEA), Bertrand Iooss (EDF R&D), Alexandre Janon (LMO), Sidonie Lefebvre (ONERA), Didier Lucor (LISN), Sébastien Petit (LNE), Emmanuel Vazquez (L2S), Xujia Zhu (L2S).
Coordinators: Sidonie Lefebvre (ONERA) & Xujia Zhu (L2S)
Practical details: the seminar will be held online using Microsoft Teams.
If you want to attend this seminar (or any of the forthcoming online UQSay seminars), and if you do not already have access to the UQSay group on Teams, simply send an email and you will be invited. Please specify which email address the invitation must be sent to (this has to be the address associated with your Teams account).
You will find the link to the seminar on the "General" UQSay channel on Teams, approximately 15 minutes before the beginning.
The technical side of things: you can use Teams either directly from your web browser or using the "fat client", which is available for most platforms (Windows, Linux, Mac, Android & iOS). We strongly recommend the latter option whenever possible. Please give it a try before the seminar to anticipate potential problems.
