Probability and Stochastic Processes

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​​In Fall 2021, the seminar will meet in a hybrid form: on-line (via Zoom) for most of the external speakers, or in-person on Mondays 12:15-1:05pm (unless specified otherwise). If you do not have the UD NetID, please contact the organizers (Mokshay Madiman and Petr Plechac​) for details of Zoom connection.​

 

 

Grégoire Ferré99Grégoire FerréZoom (email organizers for the password)<p><b>​Title: </b>Importance sampling and low temperature asymptotics<br><b>Abstract: </b>Studying rare events is a matter of concern in many scientific areas, in particular in statistical physics. Typically, one wishes to compute the probability for a system to reach some state, which does not happen frequently at the time scale of a simulation, in particular at low temperature, when the noise is small. Since estimating these events with Monte Carlo simulation in general has a high variance, one generally resorts to importance sampling for accelerating convergence.<br><br>The purpose of this talk is to present a novel importance sampling method. As others it relies on an underlying Hamilton-Jacobi equation describing the optimal control of system. The originality of our work is to expand this equation around a low temperature particular path called the instanton. I will present heuristically the approach and present a couple of simple applications. If times allows I will present a recent work where I prove variance reduction properties for the estimators.<br></p>10/25/2021 4:15:00 PM10/25/2021 5:20:00 PM

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