Presented by: 
Dr. Frances Kuo (UNSW)
Date: 
Mon 4 Apr, 2:00 pm - 3:00 pm
Venue: 
N202 in Hawken (50)

Lifting the Curse of Dimensionality — Quasi Monte Carlo Methods for High Dimensional Integration

Abstract:
High dimensional problems, that is, problems with a very large number of variables, are coming to play an ever more important role in applications. These include, for example, option pricing problems in mathematical finance, maximum likelihood problems in statistics, and porous flow problems in computational physics.

High dimensional problems pose immense challenges for practical computation, because of a nearly inevitable tendency for the costs of computation to increase exponentially with dimension: this is the celebrated "curse of dimensionality".

In this talk I will give an introduction to "quasi-Monte Carlo methods" for tackling high dimensional integrals, with a focus on "lattice rules", and discuss the challenges that we face while attempting to lift the curse of dimensionality.

Coffee and tea will be served in the tearoom after the talk.