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

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.

Schedule

Monday, February 13, 2012
at SAMSI

Tuesday, February 14, 2012
at SAMSI