This MODAL is about Monte Carlo methods for rare event simulations.
It starts with a refresh on usual Monte carlo methods, and on theoretical tools for the study of their efficiency. Then, essentially three methods will be introduced for rare event simulation: importance sampling, splitting methods and adaptive multilevel methods. There will be an emphazis on the so-called Poisson case, and Gaussian case.
- Teaching coordinator: Forghieri Orso
- Teaching coordinator: Fort Gersende
- Teaching coordinator: Lehalle Charles-Albert
- Teaching coordinator: Lelievre Tony
- Teaching coordinator: Rey Clément
- Teaching coordinator: Singh Arvind