[Crib-list] CRiB -- Friday, May 6, 2005 (Building 4, Room 231 @12:30 PM)

[Shirley Entzminger]

COMPUTATIONAL RESEARCH IN BOSTON SEMINAR

DATE:  		FRIDAY, MAY 6, 2005
TIME:  		12:30 PM
LOCATION:  	Building 4, Room 231  (NOTE:  different location)

(Pizza and beverages will be provided.)


TOPIC:		STOCHASTIC COMPUTATION AND APPLICATIONS
 		TO STATISTICAL SIGNAL PROCESSING


SPEAKER:	PATRICK WOLFE
 		Harvard University


ABSTRACT:

Many problems arising in science and engineering are effectively ones of 
statistical inference, and in all but the simplest cases the associated 
models may not admit analytical solutions.  In this talk, I will describe 
simulation-based Monte Carlo methods for inference, in particular two 
important classes of algorithms for stochastic computation: a batch 
methodology known as Markov chain Monte Carlo and an on-line one termed 
sequential Monte Carlo.  Many interpretations are possible, but I shall 
frame my discussion in terms of the Bayesian paradigm, whereby all 
inference stems from a description of the (posterior) probability 
distribution associated with a given model after having observed the data 
in question.  I will illustrate these simulation methodologies with 
examples of my own research into statistical audio signal processing, in 
which case they are used to obtain point estimates of salient parameters. 
This application area is not only interesting and important in its own 
right, but also provides a convenient test bed for more generally 
applicable techniques of time series modeling.


Massachusetts Institute of Technology
Department of Mathematics
Cambridge, MA  02139



http://www-math.mit.edu/crib

For information on CRiB, contact:

Alan Edelman:  edelman at math.mit.edu
Steven G. Johnson:  stevenj at math.mit.edu
Jeremy Kepner:  kepner at ll.mit.edu