Thesis

On the use of transport and optimal control methods for Monte Carlo simulation

Abstract:

This thesis explores ideas from transport theory and optimal control to develop novel Monte Carlo methods to perform efficient statistical computation.

The first project considers the problem of constructing a transport map between two given probability measures. In the Bayesian formalism, this approach is natural when one introduces a curve of probability measures connecting the prior to posterior by tempering the likelihood function. The main idea is to move samples from the prio...

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Department:
University of Oxford

Contributors

Department:
University of Oxford
Role:
Supervisor
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
Language:
English
Keywords:
Subjects: