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
Location: SLMath: Eisenbud Auditorium
Bayesian inverse problem
elliptic inverse problems
Brownian bridge
absolutely continuous measure
Gaussian measure
measure preserving dynamics
Stochastic differential equation
60B20 - Random matrices (probabilistic aspects) {For algebraic aspects, see 15B52}
60B15 - Probability measures on groups or semigroups, Fourier transforms, factorization
26A51 - Convexity of real functions in one variable, generalizations
74G65 - Energy minimization in equilibrium problems in solid mechanics
14352
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.
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Stuart Notes
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14352
| H.264 Video |
14352.mp4
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