SDE sampling algorithms for bounded domains, constraints and noisy gradients
- 👤 Speaker: Benedict Leimkuhler (University of Edinburgh)
- 📅 Date & Time: Wednesday 26 April 2023, 11:30 - 12:30
- 📍 Venue: Seminar Room 1, Newton Institute
Abstract
I will discuss sampling procedures based on discretized stochastic differential equations for a wide range of applications in physical modelling and data science. In this talk I will cover accurate weak approximation methods for domains with boundary and constraint manifolds. I will also discuss the problem of sampling systems driven by noisy gradients, as arise in many Bayesian inversion problems.
Series This talk is part of the Isaac Newton Institute Seminar Series series.
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Benedict Leimkuhler (University of Edinburgh)
Wednesday 26 April 2023, 11:30-12:30