Henrik Hult KTH: Rare-event simulation and Hamilton-Jacobi equations
Abstract: In this talk I will discuss the design of efficient variance reduction techniques, such as importance sampling, and multi-level splitting, for computing the probability of rare events by stochastic simulation. The design of an efficient simulation algorithm is essentially equivalent to the construction of certain subsolutions to an associated partial differential equation of Hamilton-Jacobi type. I will present a general procedure for the construction of subsolutions, based on the Mane potential, that leads to efficient simulation algorithms.
Tillbaka till huvudsidan.