5th SFB 1294 Kálmán Lecture with Nicolas Chopin

We are delighted that Nicolas Chopin from ENSAE, Institut Polytechnique de Paris, France, will be guest for the 5th SFB 1294 Kálmán Lecture.

Title: Nested cubing integration: how to get a O(N{-10}) error when you compute your favourite integral

Abstract

This talk will explain why computing integrals remains such an important task in applied mathematics, in particular in Statistics and machine learning. I will present several known methods to get unbiased estimates of an integral, and an old result giving the best achievable error rate given the number of evaluations and the regularity of the function. I will then present a new method, developed with Mathieu Gerber, which attains this rate. The underlying ideas of this method are surprisingly simple, and rely on concepts covered in undergraduate courses.

- joint work with Mathieu Gerber, Bristol University, UK

It speaks

Prof. Dr. Nicolas Chopin

Event Type

Kolloquium

Subject Field

Mathematik

Faculty

Mathematisch-Naturwissenschaftliche Fakultät

Date

Begin
30.08.2022, 10:15
End
30.08.2022, 11:15

Organizer

SFB 1294 Data Assimilation | Institut für Mathematik

Location

Universität Potsdam, Campus II - Golm, 25/F0.01
Karl-Liebknecht-Str. 24/25
14476 Golm
Map

Contact

Lydia Stolpmann
Karl-Liebknecht-Str. 24-25
14476 Potsdam

Phone: 0331 977 203137