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SUMMARY:Particle dynamics for rare event estimation with PDE-based models 
 - Elisabeth Ullmann (Technische Universität München)
DTSTART:20230428T080000Z
DTEND:20230428T090000Z
UID:TALK198448@talks.cam.ac.uk
DESCRIPTION:The estimation of the probability of rare events is an importa
 nt task in reliability and risk assessment of critical societal systems\, 
 for example\, groundwater flow and transport\, and engineering structures.
  In this talk we consider rare events that are expressed in terms of a lim
 it state function which depends on the solution of a partial differential 
 equation (PDE). We present two novel estimators for the rare event probabi
 lity based on (1) the Ensemble Kalman filter for inverse problems\, and (2
 ) a consensus-building mechanism. Both approaches use particles which foll
 ow a suitable stochastic dynamics to reach the failure states. The particl
 e methods have historically been used for Bayesian inverse problems. We co
 nnect them to rare event estimation.\nThis is joint work with Konstantin A
 lthaus\, Fabian Wagner and Iason Papaioannou (TUM).&nbsp\;
LOCATION:Seminar Room 1\, Newton Institute
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