CANCELLED as of 4/11: Rotor-routing, smoothing kernels, and reduction of variance: breaking the O(1/n) barrier

CANCELLED as of 4/11: Rotor-routing, smoothing kernels, and reduction of variance: breaking the O(1/n) barrier

Probability Seminar
Apr 11, 2012, 03:10 PM - 04:00 PM | 332 Evans Hall | Happening As Scheduled
James Propp, UMass Lowell; currently visiting UC Berkeley and MSRI
If a random variable X is easier to simulate than to analyze, one way to estimate its expected value E(X) is to generate n samples that are distributed according to the law of X and take their average. If the samples are independent, then (assuming X has finite variance) the estimate will have typical error O(1/sqrt(n)). But often one can do better by introducing appropriate forms of negative...