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SUMMARY:Rothschild Lecture:    Hamiltonian Monte Carlo and geometric integ
 ration - Chus Sanz-Serna (Universidad Carlos III de Madrid\; Universidad d
 e Valladolid)
DTSTART:20191206T160000Z
DTEND:20191206T170000Z
UID:TALK135391@talks.cam.ac.uk
CONTACT:INI IT
DESCRIPTION:Many application<br>fields require samples from an arbitrary p
 robability distribution. Hamiltonian<br>Monte Carlo is a sampling algorith
 m that originated in the physics literature<br>and has later gained much p
 opularity among statisticians. This is a talk<br>addressed to a general au
 dience\, where I will describe the algorithm and some<br>of its applicatio
 ns. The exposition requires basic ideas from different fields\,<br>from st
 atistical physics to geometric integration of differential equations and<b
 r>from Bayesian statistics to Hamiltonian dynamics and I will provide the<
 br>necessary background\, albeit superficially.
LOCATION:Seminar Room 1\, Newton Institute
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