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SPD

Seminar

The Hybrid Monte Carlo Algorithm on Hilbert Space

Stuart, A (Warwick)
Wednesday 30 June 2010, 11:30-12.20

Seminar Room 1, Newton Institute

Abstract

Hybrid Monte Carlo methods are a class of algorithms for sampling probability measures defined via a density with respect to Lebesgue measure. However, in many applications the probability measure of interest is on an infinite dimensional Hilbert space and is defined via a density with respect to a Gaussian measure. I will show how the Hybrid Monte Carlo methodology can be extended to this Hilbert space setting. A key building block is the study of measure preservation properties for certain semilinear partial differential equations of Hamiltonian type, and approximation of these equations by volume-preserving integrators. Joint work with A. Beskos (UCL), F. Pinski (Cincinnati) and J.-M. Sanz-Serna (Valladolid).

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