Seminar series
Date
Mon, 11 Jun 2007
14:15
14:15
Location
DH 3rd floor SR
Speaker
Professor Andrew Stuart
Organisation
University of Warwick
A wide variety of problems arising in applications require the sampling of a
probability measure on the space of functions. Examples from econometrics,
signal processing, molecular dynamics and data assimilation will be given.
In this situation it is of interest to understand the computational
complexity of MCMC methods for sampling the desired probability measure. We
overview recent results of this type, highlighting the importance of measures
which are absolutely continuous with respect to a Guassian measure.