Subject: [Eis_all] AMSI-SSA Special lecture by Prof Jeffrey Rosenthal
Prominent Canadian statistician Professor Jeffrey Rosenthal, the 2016 AMSI-SSA Lecturer, will deliver the following Specialist Lecture at the University of Wollongong on Thursday 1 December.
Title: THE MATHEMATICS OF MCMC
Abstract: Markov chain Monte Carlo (MCMC) algorithms, such as the Metropolis Algorithm and the Gibbs Sampler, are extremely useful and popular for approximately sampling from complicated probability distributions through repeated randomness. They are frequently applied to such diverse subjects as Bayesian statistics, physical chemistry, medical research, financial modeling, numerical integration, and more. This talk will use simple graphical simulations to explain how these algorithms work, and why they are so useful. It will also describe how mathematical analysis can provide deeper insights into their implementation, optimisation, and convergence times, and can even allow us to "adapt" the algorithms to improve their performance on the fly.
When: Thursday 1 December, 2.30 - 3.30pm Where: Lecture Theatre 5, Building 20
Jeffrey Rosenthal is a professor in the Department of Statistics at the University of Toronto. He received his BSc in Mathematics, Physics, and Computer Science from the University of Toronto at the age of 20, his PhD in Mathematics from Harvard University at the age of 24, and tenure in the Department of Statistics at the University of Toronto at the age of 29.
For his research, Rosenthal was awarded the 2006 CRM-SSC Prize, and also the 2007 COPSS Presidents' Award, the most prestigious honour bestowed by the Committee of Presidents of Statistical Societies. For his teaching, he received a Harvard University Teaching Award in 1991, and an Arts and Science Outstanding Teaching Award at the University of Toronto in 1998. He was elected to Fellowship of the Institute of Mathematical Statistics in 2005, and of the Royal Society of Canada in 2012, and was awarded the SSC Gold Medal in 2013.
Rosenthal's book for the general public, Struck by Lightning: The Curious World of Probabilities, was published in sixteen editions and ten languages, and was a bestseller in Canada. It led to numerous media and public appearances, and to his work exposing the Ontario lottery retailer scandal. Rosenthal has also published two textbooks about probability theory, and over ninety refereed research papers, many related to the field of Markov chain Monte Carlo randomised computer algorithms and to interdisciplinary applications of statistics. He has dabbled as a computer game programmer, musical performer, and improvisational comedy performer, and is fluent in French. His website is www.probability.cahttp://www.probability.ca.