Wednesday, August 01, 20123:00 PM - 4:00 PMCNLS Conference Room (TA-3, Bldg 1690)|
Faster Dynamic Monte Carlo via Markov Couplings
Kevin LinUniversity of Arizona
Dynamic Monte Carlo methods are widely used in scientific and engineering computation. In this talk, I will report on our recent efforts to accelerate dynamic Monte Carlo calculations using a tool from probability theory, namely Markov couplings. Specifically, I will discuss coupling-based algorithms for two distinct but related problems involving stochastic differential equations: sensitivity analysis and variance reduction.
Host: Garrett Kenyon, firstname.lastname@example.org, 7-1900, IS & T