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Wednesday 18 October 2023, 11:00-12:30
Quasi-Monte Carlo: structure in the randomness for better sampling
- 👤 Speaker: Isaac Reid, University of Cambridge
- 📅 Date & Time: Wednesday 18 October 2023, 11:00 - 12:30
- 📍 Venue: Cambridge University Engineering Department, CBL Seminar room BE4-38.
Abstract
Quasi-Monte Carlo (QMC) sampling is well-established as a universal tool to improve the convergence of MC methods, improving the concentration properties of estimators by using low-discrepancy samples to reduce integration error. They replace i.i.d. samples with a correlated ensemble, carefully constructed to be more ‘diverse’ and hence improve approximation quality. In this reading group we will discuss both traditional QMC schemes for approximating integrals R^d and recently-proposed counterparts for discrete space, teasing out their common themes as we progress towards a general recipe for more efficient sampling.
Series This talk is part of the Machine Learning Reading Group @ CUED series.
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