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SPDE scaling limits of an Markov chain Montecarlo algorithm

Mattingly, J (Duke)
Monday 28 June 2010, 14:10-15.00

Seminar Room 1, Newton Institute


I will discuss how a simple random walk metropolis algorithm converges to an SPDE as the dimension of the sample space goes to infinity. I will discuss how this the limiting SPDE gives insight into how one should tune the algorithm to obtain an asymptotically optimal mixing rate. This is joint work with Andrew Stuart and Natesh Pialli.


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