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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

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