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

Workshop Information

February 13, 2012 - 8:30am - February 14, 2012 - 5:00pm

This workshop was held at SAMSI.

Description: The main aim of the workshop was 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 addressed both theoretical and computational issues related to rare event simulation. Specific topics included large deviation theory, heavy-tailed processes, importance sampling, particle methods, and other novel methods. The workshop took place over two days and provided an ideal place for beginning researchers in the field to interact with experts. The expected outcomes included the opportunity to understand the state of the art of the field as well as some of the core questions in the area.


Monday, February 13, 2012

8:30-9:00 a.m. Registration and Continental Breakfast
9:00-9:15 Welcome and Introduction
Pierre Gremaud, SAMSI
9:15-10:00 Peter Glynn, Stanford University
Small-sample Behavior for Importance Sampling Rare-event Estimators
10:05-10:50 Maria Cameron, University of Maryland
Finding Quasipotential for Nongradient SDE's
10:50-11:20 Break
11:20-12:05 Henry Lam, Boston University
Rare-Event Simulation for Many-Server Queues
12:05-1:30 Lunch
1:30-2:15 Jingchen Liu, Columbia University
Rare-event Analysis and Simulations for Gaussian and Its Related Processes
2:20-3:05 Kavita Ramanan, Brown University
3:05-3:30 Break
3:30-4:15 Jonathan Weare, University of Chicago
A Modified Diffusion Monte Carlo for Rare Event Simulation and More
4:15-4:45 Discussion
5:00-7:00 Poster Session and Reception

SAMSI will provide poster presentation boards and tape. The board dimensions are 4 ft. wide by 3 ft. high. They are tri-fold with each side being 1 ft. wide and the center 2 ft. wide. Please make sure your poster fits the board. The boards can accommodate up to 16 pages of paper measuring 8.5 inches by 11 inches.

Tuesday, February 14, 2012

8:30-9:00 a.m. Registration and Continental Breakfast
9:00-9:45 Kay Kirkpatrick, University of Illinois, Urbana-Champaign
Bose-Einstein Condensation and Quantum Many-Body Systems
9:50-10:35 Paul Dupuis, Brown University
Importance Sampling for a Multiscale Diffusion
10:35-11:00 Break
11:00-11:45 Kevin Leder, University of Minnesota
Analysis of a Splitting Estimator for Rare Event Probabilities in Jackson Networks
11:45-12:00 Closing Remarks
Pierre Gremaud, SAMSI
12:00-1:00 Lunch