Talk Title: MCMC for Probability Measures, RSMC for Improper Targets
Speaker: Prof. Krishna B. Athreya, Iowa State University
Time and Date: 11:30 am, Thursday August 20 2015
Venue: Room 217, Mechanical Engineering
Abstract: Given a probability distribution on some set S and a real valued function f on S how do we calculate the integral of f w.r.t the given distribution. The classical weak law of large numbers and the central limit theorem gives us a tool if one can generate data that are iid from that distribution. MCMC is an alternative to this but based on a Markov chain whose stationary distribution is the given one. In this talk we shall discuss this tool and its limitations.. We shall also discuss a more general method based on regenerative sequences that work for improper targets, ie distributions with infinite mass. This is based on a recent paper of Athreya and Roy.in EJS.
Speaker Bio: K. B. Athreya is a visiting professor in the math dept here at IITB till August 31. He is an emeritus faculty in mathematics and statistics at Iowa State University, Ames, Iowa, USA. His areas of research are probability theory, stochastic processes and mathematical analysis. He enjoys teaching mathematics at all levels. He is very fond of Indian Classical music.