Host Institution: |
The University of New South Wales |
Title of Seminar: |
Particle Monte Carlo methods in statistical learning and rare event simulation |
Speaker's Name: |
Pierre Del Moral |
Speaker's Institution: |
INRIA/École Polytechnique |
Time and Date: |
Friday 23rd August 2013, 4.00pm (AEST) |
Seminar Abstract: |
In the last three decades, there has been a dramatic increase in the use of particle methods as a powerful tool in real-world applications of Monte Carlo simulation in computational physics, population biology, computer sciences, and statistical machine learning. Ideally suited to parallel and distributed computation, these advanced particle algorithms include nonlinear interacting jump diffusions; quantum, diffusion, and resampled Monte Carlo methods; Feynman-Kac particle models; genetic and evolutionary algorithms; sequential Monte Carlo methods; adaptive and interacting Markov chain Monte Carlo models; bootstrapping methods; ensemble Kalman filters; and interacting particle filters. |
Speaker Bio |
Dr. Del Moral is one of the principal designers of the modern and the recently developing theory on stochastic particle methods in nonlinear filtering, numerical physics, engineering and information theory. He has published over 100 papers in pure and applied probability journals, and he is the author of the book "Feynman-Kac formulae. Genealogical and interacting particle approximations", Springer New York, Series: Probability and Applications (2004). His current research interests are : Bayesian inference and nonlinear filtering, multiple targets tracking problems, rare event analysis, calibration and uncertainty propagations in numerical codes, particle absorption models, Monte Carlo methods, stochastic algorithms, branching processes and interacting particle systems. |
Seminar Contact: |
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