
Sampling Function Space:
Applications and Algorithms
Andrew Stuart (Warwick)
A wide variety of problems arising in applications require the sampling of
a probability measure on the space of functions. Examples from
econometrics, signal processing, molecular dynamics and data assimilation
will be given.
In this situation it is of interest to understand the computational
complexity of MCMC methods for sampling the desired probability measure.
We overview recent results of this type, highlighting the importance of
measures which are absolutely continuous with respect to a Guassian
measure.
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