University of Birmingham > Talks@bham > Data Science and Computational Statistics Seminar > Recent developments of Monte Carlo sampling strategies for probability distributions on submanifolds

## Recent developments of Monte Carlo sampling strategies for probability distributions on submanifoldsAdd to your list(s) Download to your calendar using vCal - Wei Zhang (Zuse Institute Berlin)
- Tuesday 21 July 2020, 13:00-14:00
- via Zoom, Meeting ID: 326 414 7316, Password: 772020.
If you have a question about this talk, please contact Hong Duong. Monte Carlo sampling for probability distributions on submanifolds is involved in many applications in molecular dynamics, statistical mechanics and Bayesian computation. In this talk, I will talk about two types of Monte Carlo schemes that are developed in recent years. The first type of schemes is based on the ergodicity of stochastic differential equations (SDEs) on submanifolds and is asymptotically unbiased as the step-size vanishes. The second type of schemes consists of Markov chain Monte Carlo (MCMC) algorithms that are unbiased when finite step-sizes are used. I will discuss the role of projections onto submanifolds, as well as the necessity of the so-called “reversibility check’’ step in MCMC schemes on submanifolds that is first pointed out by Goodman, Holmes-Cerfon and Zappa. During the talk, I will illustrate both types of schemes with some numerical examples. This talk is part of the Data Science and Computational Statistics Seminar series. ## This talk is included in these lists:- Data Science and Computational Statistics Seminar
- School of Mathematics events
- via Zoom, Meeting ID: 326 414 7316, Password: 772020
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