Oberseminar Numerische Mathematik / Scientific Computing
Gareth O. Roberts
University of Warwick
Retrospective Simulation
Abstract:
The talk will describe diverse appplications of a simple technique for subverting the usual order of steps in standard stochastic simulation algorithms (including Markov chain Monte Carlo and rejection sampling). Simple examples will be given and a slightly more involved example involving the exact simulation of diffusions and related functionals will also be given. If time permits, an example from Bayesian non-parametric analysis will be given.
| Datum: | 02.05.11 | Zeit: | 16:00 Uhr | Ort: | FU Berlin, Institut für Mathematik, Arnimallee 6, 14195 Berlin. | Raum: | Raum 031 im Erdgeschoss |