Simulation and probability: recent trends

Tuesday, June 5, 2018 - 9:30am to Friday, June 8, 2018 - 4:30pm

Particle Monte Carlo simulation methods usually refer to a now ubiquitous strategy where a sample of random "particles" approximating a target probability distribution are simulated using importance splitting and/or killing of particles according to some appropriate rules.

This workshop aims at gathering in a single mathematically oriented event, some recent trends related to those particle methods.

In particular: (i) the simulation of rare events and large deviation theory; and (ii) the filtering/assimilation of high dimensional data.

Centre Henri Lebesgue
35000 Rennes