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How to Integrate using Statistics: An Introduction to Monte Carlo Methods and MCMC

Speaker: Zhang Ruiyang Location: Gordan St (25) Math 505 & Zoom Abstract: Integration is no stranger to us, and we have learned a lot of tricks and theories about them. However, in a lot of real life applications, we would come across integrals that are hard to compute and there might not even be a good expression of the antiderivative of the integrand. Such integrals, known as the intractable integrals, could in fact be calculated (or approximated) via statistical methodologies known as the Monte Carlo methods. In this talk, we will be studying some of the Monte Carlo methods as well as some Markov Chain Monte Carlo (MCMC) algorithms such as MH, MALA, and HMC. Basic knowledge of Markov chains, Law of Large Numbers, and Central Limit Theorem would be helpful, but the talk will ultimately be self-contained. -------------------- Notes: https://drive.google.com/drive/folder... -------------------- Website: https://ucl-ug-col.github.io/ Facebook Page:   / uclmaths   Instagram: @ucl.umc Email: [email protected]