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UQ: Simulation of Rare Events - February 13-14, 2012

Sun Nov 13, 2011 • Calendars: Conferences

Description: The main aim of the workshop is to contribute to the development of efficient algorithms to simulate complex stochastic systems conditioned on the occurrence of a rare event. Although they may occur with small probability, such events may be of great practical interest because they represent very undesirable system behavior. Simulation algorithms give an estimate of these small probabilities and an understanding of the likely mechanism by which the event occurs. Applications of rare event simulation methods include many engineered systems such as noisy optical laser systems, queuing networks, and mechanical reliability analysis, as well as financial risk, climate dynamics, and random graph and network models.

Speakers will address both theoretical and computational issues related to rare event simulation. Specific topics include large deviation theory, heavy-tailed processes, importance sampling, particle methods, and other novel methods. The workshop will take place over two days and will provide an ideal place for beginning researchers in the field to interact with experts. The expected outcomes include the opportunity to understand the state of the art of the field as well as some of the core questions in the area.

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