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Wednesday, August 01, 2012
3:00 PM - 4:00 PM
CNLS Conference Room (TA-3, Bldg 1690)


Faster Dynamic Monte Carlo via Markov Couplings

Kevin Lin
University 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,, 7-1900, IS & T