 |
Center for Nonlinear Studies |
The use of Langevin dynamics for MCMC simulation in statistics and computational physics is well explored. In recent years a fundamentally different Markov simulation technique emerged, based upon a family of piecewise deterministic Markov processes. I will provide an introduction to this exciting field, including mathematical background, a discussion of the simulation methods, and some of the computational advantages.
Host: Michael Chertkov