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The Bernoulli Factory, extensions and applications

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Advanced Monte Carlo Methods for Complex Inference Problems

The celebrated Bernoulli Factory problem can be phrased as following: Given a black box to simulate a p-coin with unknown p, and given known function f, how to design an algorithm for sampling an f(p)-coin? Solving the Bernoulli Factory involves some elegant and enjoyable mathematics and somewhat surprisingly the problem shows up as a major burden in many computational settings, such as executing certain types of MCMC algorithms. I will discuss some of these applications as well as extensions of the Bernoulli Factory to more general random variables.

This talk is part of the Isaac Newton Institute Seminar Series series.

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