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SPDE Limits for Metropolis-Hastings methods

Stuart, A (Warwick)
Thursday 07 January 2010, 10:00-11:00

Seminar Room 1, Newton Institute


I study the problem of sampling a measure on Hilbert space which is defined through its Radon-Nikodym derivative with respect to a product measure. I will apply random walk Metropolis dynamics to explore the measure and address the question of how to choose the free parameters in this algorithm in order to minimize the work required to explore the measure. Diffusion limits of the Metropolis dynamics will be used to substantitate these ideas.


[pdf ]


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