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1-2-3 Seminar: All you need is $\nabla \log u$

Vasily Ilin, University of Washington
Monday, May 22, 2023 - 4:30pm to 5:20pm
PDL C-401

The usual approach to solving the heat equation and its various Fokker-Planck friends is SDE Monte Carlo simulation. In this talk we will see a (mostly) deterministic algorithm that relies on approximating the gradient-log pdf. The talk will feature a little bit of everything except AG: PDEs, optimal transport, probability, neural networks, and algorithms.

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