Sebastiano Grazzi

PhD student
Delft Institute of Applied Mathematics
Delft University of Technology, Mourik Broekmanweg 6, 2628 XE
Delft, The Netherlands
Email: s.grazzi@tudelft.nl


Summary

I am a PhD student at the Institute of Applied Mathematics of TU Delft under the supervision of Frank van der Meulen (Promotor), Joris Bierkens (Copromotor) and Moritz Schauer (external collaborator). I am currently working on Monte Carlo methods based on Piecewise deterministic Markov Processes and their applications. I find diffusion processes to be an enjoyable playground for testing Monte Carlo methods as they offer a beautiful probabilistic formulation and non-trivial high-dimensional statistical problems.

Preprints and Publications

  1. Sticky PDMP samplers for sparse and local inference problems, with J. Bierkens, F. van der Meulen, M. Schauer. Submitted 2021 [arXiv:2103.08478]
  2. The Boomerang Sampler, with J. Bierkens, K. Kamatani and G. Roberts. International Conference on Machine learning 2020 [arXiv:2006.13777]
  3. A piecewise deterministic Monte Carlo method for diffusion bridges, with J. Bierkens, F. van der Meulen, M. Schauer. Statistics and Computing 31 (37), 2021 [arXiv:2001.05889]
  4. Bayesian inference for SDE models: a case study for an excitable stochastic-dynamical model, with F. van der Meulen, M. Mider, M. Schauer. 2020 [Link] under the Project Scholarship for Explorable Research funded by NextJournal

Talks

Teaching

Honors and awards

Short curriculum vitae

Useful links: