Undergraduate Seminar by Prof Josh Ross: Importance Sampling

Date: Wednesday 15 May
Time: 12:10pm to 1:00pm
Location: B17, Ingkarni Wardli

The use of simulation to estimate quantities of interest is ubiquitous. In many applications, arising in high-energy physics, rare event simulation for finance and risk, and Bayesian inference, crude implementation can be computationally-prohibitive, or at least provides estimates with unsatisfactorily high variance.

Importance Sampling is a technique to reduce variance in estimates.

Professor Josh Ross will explain and illustrate Importance Sampling using some simple examples, and discuss how this is underpinning our current research in methods of inference for analysing outbreaks of infectious diseases to provide decision support in the event of the next influenza pandemic.