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Center for Nonlinear Studies |
Dynamic Monte Carlo methods are widely used in scientific and engineering computation. In this talk, I will report on our recent efforts to accelerate dynamic Monte Carlo calculations using a tool from probability theory, namely Markov couplings. Specifically, I will discuss coupling-based algorithms for two distinct but related problems involving stochastic differential equations: sensitivity analysis and variance reduction.
Host: Garrett Kenyon, gkenyon@lanl.gov, 7-1900, IS & T