Simulation of rare events by Adaptive Multilevel Splitting algorithms (Charles-Edouard Bréhier, Lyon)

22.11.2017 14:00

The Adaptive Multilevel Splitting (AMS) algorithms are advanced Monte Carlo techniques which are designed to simulate rare events: for instance transitions between metastable states of stochastic dynamics, induced by small noise perturbations of deterministic dynamics with multiple stable equilibria.

I will discuss the construction of such algorithms, and discuss several mathematical properties proved in recent years, concerning the consistency (absence of bias) and the efficiency of the algorithms, in several contexts.

I will present some numerical simulations, and propose several new variants.

Lieu

salle 624, Séminaire d'analyse numérique

entrée libre