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MCMC, SMC and IS in High and Infinite Dimensional Spaces

Introductory Workshop: Randomness and long time dynamics in nonlinear evolution differential equations August 24, 2015 - August 28, 2015

August 27, 2015 (09:00 AM PDT - 10:00 AM PDT)
Speaker(s): Andrew Stuart (Caltech)
Location: MSRI: Simons Auditorium
  • Bayesian inverse problem

  • elliptic inverse problems

  • Brownian bridge

  • absolutely continuous measure

  • Gaussian measure

  • measure preserving dynamics

  • Stochastic differential equation

Primary Mathematics Subject Classification
Secondary Mathematics Subject Classification No Secondary AMS MSC



The objective of these lectures is to demonstrate a unifying role played by the property of absolute continuity in understanding the behaviour of, and construction of effective algorithms to explore, probability measures in high and infinite dimensional spaces.  Furthermore links to continuo time processes, and SPDEs in particular, will be made. These attached  notes outline the structure of the lectures, and give various references to the literature that I will not, for reasons of brevity, give in full during the lectures themselves. These also include references to related material that I will not have time to cover in the lectures at all. 

24221?type=thumb Stuart Notes 170 KB application/pdf Download
Video/Audio Files


H.264 Video 14345.mp4 342 MB video/mp4 rtsp://videos.msri.org/data/000/024/111/original/14345.mp4 Download
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