Applied Math And Analysis Seminar
Monday, March 19, 2012, 4:30pm, 119 Physics
Jonathan Weare (University of Chicago, Dept of Mathematics)
Ensemble sampling methods for equilibrium and non-equilibrium problems
Abstract:- This talk will survey my efforts with coworkers to develop and analyze
Monte Carlo sampling algorithms for complex (usually high dimensional)
probability distributions. These sampling problems are typically
difficult because they have multiple high probability regions separated
by low probability regions and/or they are badly scaled in the sense
that there are strong unknown relationships between variables. I'll
begin the talk by discussing a simple modification of the standard
diffusion Monte Carlo algorithm that results in a more efficient and
much more flexible tool for use, for example, in rare event simulation.
If time permits I'll discuss a few other ensemble based sampling tools
designed to directly address energy barriers and scaling issues. [video]
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