Stochastic Particle Methods

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Stochastic Particle Methods

 04 - 06 Feb 2015

ICMS, 15 South College Street Edinburgh
  • Gavin Gibson, Heriot-Watt University
  • Lukasz Szpruch, University of Edinburgh

About:

The main purpose of the colloquium was to gain insight into new developments of Stochastic Particle Methods, which include both linear and non-linear Monte Carlo type methods. 

Speakers:

  • Pierre Del Moral, UNSW - An Introduction to Feynman-Kac Integration and Genealogical Tree Based Particle Models

  • Benjamin Jourdain, CERMICS - Multitype Sticky Particles and Diagonal Hyperbolic Systems of PDEs

  • Michela Ottobre, Heriot-Watt - A Function Space HMC Algorithm with Second Order Langevin Diffusion Limit

  • Burak Buke, University of Edinburgh - Monte Carlo Methods for Stochastic Optimisation

  • Goncalo dos Reis, University of Edinburgh - Customised Numerical Schemes for FBSDE.