Better numerical integration through randomness

Start: 11/18/2009 - 4:15pm
End  : 11/18/2009 - 5:15pm


Mark Huber, Claremont McKenna College


Numerical integration in one dimension is easy; even the simpler methods like the trapezoidal rule or Simpson's rule, suffice for most problems. However, higher dimensional integrals present a serious difficulty. To approximate them using methods like Simpson's rule requires exponential time in the dimension, an eff ect known as "The Curse of Dimensionality". However, problems of this type are common in statistics and combinatorics and integration methods are needed to obtain numerical solutions with the necessary level of accuracy. In this talk I'll present a new approach, called TPA, that uses random choices. I have designed the method and I will discuss some of its applications.

Millikan Room 134, Pomona College

Misc. Information

Refreshments will be served in Henry Mullikin Room 209 at 3:45.

The dinner will be hosted by Prof. Susan Martonosi. If interested in attending, please call ext. 70481