Sebastiano Grazzi

About Me

I am a Research Fellow in Computational Statistics at Bocconi University. My research interests primarily focus on the theory and methodology of Markov chain Monte Carlo. I have contributed to the development of Monte Carlo methods driven by piecewise deterministic Markov chains and I am currently interested in parallelization strategies for Bayesian computation and Heavy-tailed sampling. Prior to this position, I was a Postdoctoral Fellow at the University of Warwick, UK (2023–2024), and I obtained my PhD at Delft University of Technology (2018–2023).

Preprints

• Parallel Computing for Metropolis Markov chains with Picard maps, 2025. ArXiv: 2506.09762. [with G. Zanella].
• Stochastic Gradient Piecewise Deterministic Monte Carlo Samplers, 2024. ArXiv: 2406.19051. [with P. Fearnhead, C. Nemeth, G. Roberts].
• Methods and applications of PDMP samplers with boundary conditions, 2023. ArXiv: 2303.08023. [with J. Bierkens, G. Roberts, M. Schauer].

Published papers

• Sticky PDMP samplers for sparse and local inference problems, Statistics and Computing 33.1, 2023. [with J. Bierkens, F. van der Meulen, M. Schauer].
• A piecewise deterministic Monte Carlo method for diffusion bridges, Statistics and Computing 31 (37), 2021. [with J. Bierkens, F. van der Meulen, M. Schauer].
• The Boomerang sampler , International Conference on Machine learning, 2020. [with J. Bierkens, K. Kamatani and G. Roberts].
• Bayesian inference for SDE models: a case study for an excitable stochastic-dynamical model, 2020. NextJournal, with scholarship for Explorable Research. Link article. [with F. van der Meulen, M. Mider, M. Schauer].

Teaching

• Lecturer for the course 30549: Mathematical Statistics. Bocconi University (Italy) – BSc in Mathematical and Computing Sciences for Artificial Intelligence - 2024-2025, 2025-2026.
• Guest lecturer. Recent advances in MCMC. Warwick University (UK) – MSc students, PhD students in Physics - March, 2024.
• Lecturer for the course ST329: Topics in statistics: Rare-event estimation. Warwick University (UK) – BSc in Statistics - 2023-2024.
• Teaching assistant for the course: Mathematical Statistics. Delft University of Technology (The Netherlands) – BSc in mathematics - 2019-20, 2020-21, 2021-22.