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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Statistics Seminars: Hybrid Monte Carlo in High Dimensions

Presented by Alexandros Beskos, Department of Statistical Science, University College of London

1 November 2010 15:15 in CM221

The Hybrid Monte-Carlo algorithm employs Hamiltonian dynamics to provide non-local, non-symmetric proposals for MCMC algorithms. I will briefly describe the algorithm and some of its properties before I present our investigations on the behaviour of the algorithm in high dimensions. Additionally, I will present a modification of the standard method which gives rise to a Hybrid Monte-Carlo algorithm on a Hilbert space and discuss its practical implications.

Host: Umberto Picchini

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