Panagiotis Papastamoulis Seminar

AUEB STATISTICS SEMINAR SERIES JANUARY 2021

Panagiotis Papastamoulis, Assistant Professor, Department of Statistics, Athens University of Economics and Business

Integrating R and C++ exemplified by stochastic gradient MCMC sampling

FRIDAY 15/1/2021, 14:00 – 14:30

ABSTRACT

R is easy but sometimes painfully slow and C++ is fast but many statisticians are not comfortable with it. Bridging R and C++ can be extremely advantageous when writing source code for computationally demanding problems. This talk will present certain ways of accomplishing this task, with a particular focus on the popular Rcpp and RcppArmadillo packages. Examples will include applications dealing with MCMC sampling in high-dimensional posterior distributions.

(Presentation slides can be found here)