PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Xiantao Li, Stephanie Zerby, Chun Liu, Fei Wang.

Title:Metastability and Monte Carlo methods for multiscale problems.
Seminar:Computational and Applied Mathematics Colloquium
Speaker:Konstantinos Spiliopoulos, Boston University
Abstract:
Rare events, metastability and Monte Carlo methods for stochastic dynamical systems have been of central scientific interest for many years now. In this talk we focus on rough energy landscapes, that are modeled as multiscale stochastic dynamical systems perturbed by small noise. Large deviations deals with the estimation of rare events. Depending on the type of interaction of the fast scales with the strength of the noise we get differen t behavior, both for the large deviations and for the corresponding Monte Carlo methods.I will describe how to design asymptotically provably efficient importance sampling schemes for the estimation of associated rare event probabilities, such as exit probabilities,hitting probabilities, hitting times, and expectations of functionals of interest. Standard Monte Carlo methods perform poorly in these kind of problems in the small noise limit. In the presence of multiple scales one faces additional difficulties and straightforward adaptation of importance sampling schemes for standard small noise diffusions will not produce efficient schemes. We resolve this issue and demonstrate the theoretical results by examples and simulation studies.

Room Reservation Information

Room Number:MB106
Date:04 / 18 / 2016
Time:02:30pm - 03:30pm