Speaker
Jesus Maria Sanz-Serna
(Universidad Carlos III de Madrid)
Description
The Hamiltonian Monte Carlo method is a widely popular technique for obtaining samples from arbitrary probability distributions. The method is based on integrating a system of Hamiltonian differential equations and its computational cost depends almost exclusively on the efficiency of the numerical integrator used to simulate the Hamiltonian dynamics. In the talk I'll describe the specific features of the required numerical integration and the construction of algoritms tailored to the task.
Primary author
Jesus Maria Sanz-Serna
(Universidad Carlos III de Madrid)
