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MCMC, SMC and IS in High and Infinite Dimensional Spaces

Introductory Workshop: Randomness and long time dynamics in nonlinear evolution differential equations August 24, 2015 - August 28, 2015

August 27, 2015 (02:00 PM PDT - 03:00 PM PDT)
Speaker(s): andrew stuart (University of Warwick)
Location: MSRI: Simons Auditorium
Tags/Keywords
  • Bayesian inverse problem

  • elliptic inverse problems

  • Brownian bridge

  • absolutely continuous measure

  • Gaussian measure

  • measure preserving dynamics

  • Stochastic differential equation

Primary Mathematics Subject Classification
Secondary Mathematics Subject Classification No Secondary AMS MSC
Video

14348

Abstract

The objective of these lectures is to demonstrate a unifying role played by the property of absolute continuity in understanding the behaviour of, and construction of effective algorithms to explore, probability measures in high and infinite dimensional spaces.  Furthermore links to continuo time processes, and SPDEs in particular, will be made. These attached  notes outline the structure of the lectures, and give various references to the literature that I will not, for reasons of brevity, give in full during the lectures themselves. These also include references to related material that I will not have time to cover in the lectures at all. 

Supplements
24224?type=thumb Stuart Notes 203 KB application/pdf Download
Video/Audio Files

14348

H.264 Video 14348.mp4 321 MB video/mp4 rtsp://videos.msri.org/data/000/024/114/original/14348.mp4 Download
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