Thesis
On the use of transport and optimal control methods for Monte Carlo simulation
- Abstract:
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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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Bibliographic Details
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- University of Oxford
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- Copyright date:
- 2016
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