Colloquium

Speaker: | Prof. Chii-Ruey Hwang(Academia Sinica) |

Title: | Monte Carlo Markov Processes |

Time: | 2016-04-07 (Thu.) 15:00 - 16:00 |

Place: | Auditorium, 6 Floor, Institute of Mathematics (NTU Campus) |

Abstract: | Let $\pi$ be an underlying probability (density) known up to a norming constant, Markov processes (chains), regarded as 'conceptual algorithms', may be used to approximate sample from $\pi$. The evaluation of the approximation is investigated under various comparison criteria, e.g. asymptotic variance, spectral gap, convergence exponent in variational norm. The worst-case analysis, the average-case analysis, uniform comparison, antisymmetric perturbations are considered. Some related problems in analysis and geometry are discussed. This is a survey of our work. |

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