Markov chain Monte Carlo

and related methods

Monday 16 – Friday 20 March 2009

at the

Mathematics Research Centre, University of Warwick, UK

Organisers: Samuel Kou (Harvard) Gareth Roberts (Warwick), Andrew Stuart (Warwick), Elke Thonnes (Warwick

REPORT on Workshop  file

Background

The increasing availability of vasts amount of data, together with increased demand for the modelling of highly complex phenomena leads to an imperative need for the development of efficient inference algorithms. The aim of this workshop is to examine the potential for continued and future impact of Markov chain Monte Carlo (MCMC) in this context. These methods have already had significant impact on applications throughout engineering, medicine, the sciences and the social sciences. In particular the use of Metropolis methods and variants underpins many significant sucess stories in these fields. As the amount of data available increases by orders of magnitude on the scale of decades, in almost all fields of human endeavour, so the need for statistical formulation of problems grows; on the other hand, the vast amounts of data mean that complex models are increasingly used. This conjunction of large data sets and complex models leads to a situation in which we can expect MCMC and related methods to continue to play an important and central role.

Aims

The need for improved mathematical and algorithmic understanding of MCMC and related methods, tied to significant application areas, is paramount and forms a major challenge for computational science. The workshop will address these issues.

Presentations:

There will be four keynote lectures presented by

• Dan Crisan
• Christian Robert
• Havard Rue
  

Workshop timetable

For a list of talks with links to the presentations please click here:

Workshop presentations

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Venue

Greetings will be held in the Common Room of the Mathematics Institute on Monday morning. Talks will be held in the Mathematics Institute. This is building 35 of the Warwick central campus.

Note that the university is located at the outskirts of Coventry and not in Warwick.

See http://www2.warwick.ac.uk/about/visiting/ for travel details and http://www2.warwick.ac.uk/about/visiting/maps/ for maps of the central campus.

In case you come by car, parking is available for delegates at Car Park 15.

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This event is part of the 2008–2009 Warwick EPSRC Symposium on Challenges in Scientific Computing

See also:
Mathematics Research Centre
Mathematical Interdisciplinary Research at Warwick (MIR@W)
Past Events 
Past Symposia