BIMSA > Seminar on Control Theory and Nonlinear Filtering Sampling under log-concavity and isoperimetry
Sampling under log-concavity and isoperimetry
Organizer
Shing Toung Yau
Speaker
Jia Yi Kang
Time
Monday, August 21, 2023 2:30 PM - 3:00 PM
Venue
数学系理科楼A-203
Abstract
The primary aim of this report is to introduce the complexity of the task of sampling: given a target probability density π ∝ exp(−V ) on R^d , how expensive is it to generate random variables whose law is close to π in suitable metrics? Since the dawn of the Markov chain Monte Carlo (MCMC) revolution, sampling has been the algorithmic cornerstone of Bayesian inference and scientific computing. How do we design fast samplers, and how can we develop a theory of complexity for this task?