Computational Mathematics & Statistics Seminar by Yindong Chen: Low-Discrepancy Points via Energetic Variational Approach

Speaker:

Yindong Chen, Ph.D., Applied Math, Illinois Institute of Technology

Title:

Low-Discrepancy Points via Energetic Variational Approach

Abstract:

In this talk, a method to generate a set of low-discrepancy points is introduced.
Low-discrepancy points can be used to compute numerical integration. Under certain
conditions, the empirical distribution of low-discrepancy points also converges to the target
distribution. The proposed method is based on the particle energetic variation approach, in
which the discrepancy of between the empirical distribution of the particles and the target
distribution is minimized by solving an ODE system. Numerical examples are used to show
the performance of the proposed method.

 

Computational Mathematics & Statistics