PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

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

Title:Escaping from an attractor: importance sampling and rest points
Seminar:CCMA Luncheon Seminar
Speaker:Konstantinos Spiliop, Boston University
Abstract:
Abstract: I will discuss large deviations and importance sampling Monte Carlo schemes for the estimation of finite time exit probabilities of small noise diffusions that involve escape from an equilibrium. We build importance sampling schemes with provably good performance both pre-asymptotically, that is, for fixed size of the noise, and asymptotically, that is, as the size of the noise goes to zero, and that do not degrade as the time horizon gets large. Simulation studies demonstrate the theoretical results.

Room Reservation Information

Room Number:MB114
Date:04 / 18 / 2016
Time:12:20pm - 01:10pm