Title: The Hamiltonian Monte Carlo method and Geometric Integration
Abstract: Generating samples from a given, possibly high-dimensional, probability distribution is a task that appears often in several sciences. The literature contains a high number of methods to perform that task and the talk will focus in one of them: the Hamiltonian Monte Carlo (HMC) algorithm. This widely used technique is remarkable in that it uses ideas from very many scientific fields, including classical mechanics, statistical physics and the theory of structure preserving discretizations of differential equations. The talk, which is aimed at a general audience and requires little background, will explore the connections between HMC and those different fields.
Biography
J.M. Sanz-Serna is an emeritus professor at Universidad Carlos III de Madrid. He has contributed to numerical analysis, approximation theory, functional analysis, Monte Carlo methods and other areas. His main interest has been in the numerical analysis of stochastic and deterministic, ordinary or partial differential equations. He served as Universidad of Valladolid Vicechancellor 1998-2006 and as President of the Royal Academy of Sciences of Spain 2018-2024.
The talk will be held in room 2.04, Fry Building. Registration is free, but required. Please register via the following form.
The colloquium will be followed by a drinks reception, 4pm – 5pm in the School of Mathematics common room.
Professor Sanz-Serna will also give a seminar on Monday 16th September. Further details can be found here.
For further information, please email the Heilbronn events team at heilbronn-coordinator@bristol.ac.uk.
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