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- Rare-event probability estimation and convex programming
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- Home
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Postgraduate research
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- Michael Tallis PhD Research Travel Award
- Information about research theses
- Past research students
- Resources
- Entry requirements
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Abstract:
In this talk we present a new approach to rare-event probability estimation, in which the quantity of interest is the solution to a convex optimization problem. We show that this indirect method of estimating a rare-event probability yields excellent numerical results compared to traditional importance sampling.
Speaker
Dr Zdravko Botev
Research Area
Statistics Seminar
Affiliation
School of Mathematics and Statistics, UNSW
Date
Fri, 07/06/2013 - 4:00pm to 5:00pm
Venue
OMB-145, Old Main Building, UNSW Kensington Campus