Exact Simulation of a Gibbs Law on Trajectories

Abstract:
We are interested in sampling according to a particular law on trajectories (in a fairly general setting). Building on existing techniques (Metropolis algorithm, coupling from the past). We propose a new algorithm and prove that its complexity is a polynomial in the size of the problem. What we will expose is an interesting mixture of theoretical probabilities and numerical constraints. The talk should be understandable by non-probabilists.

Biography:
Sylvain Rubenthaler is Maitre de conférence (HDR) at University of Nice Sophia Antipolis, France.

Seminar by the NYU-ECNU Institute of Mathematical Sciences at NYU Shanghai