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ANC Talk: Professor Mark Girolami (Director, CRiSM) Warwick University

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Control Functionals

What
  • ANC Workshop Talk
When Mar 27, 2015
from 02:00 PM to 03:00 PM
Where IF Room 2.33
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A reduced-variance approach to Monte Carlo integration is presented, that exploits tools from Gaussian process regression to improve asymptotic convergence rates. The method, called ‘control functionals’, enables efficient, unbiased estimation using un-normalised densities and is well-suited to challenging contemporary applications of Bayesian statistics. Joint work with Chris Oates and Nicolas Chopin.

 

Mark's website:  http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic-research/girolami/