Dr Zdravko Botev
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
Research Area
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