[Forum SIS] Seminario BESKOS

[Matteo Ruggiero]

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STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO
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Venerdi' 7 Novembre 2014 alle ore 12:00, 
presso la sala rossa del Collegio Carlo Alberto, 
Moncalieri (TO), si terra' il seguente seminario:


Alexandros BESKOS (University College London)

SMC SAMPLERS FOR APPLICATIONS IN HIGH DIMENSIONS


Abstract:
Sequential Monte Carlo (SMC) methods are nowadays routinely applied in a variety of complex applications: hidden Markov models, dynamical systems, target tracking, control problems, just to name a few. Whereas SMC methods have been greatly refined in the last decades and are now much better understood, they are still known to suffer from the curse of dimensionality: algorithms can sometimes break down exponentially fast with the dimension of the state space. As a consequence, practitioners in high-dimensional Data Assimilation applications in atmospheric sciences, oceanography and elsewhere will typically use 3D-Var or Kalman-filter-type approximations that will provide biased estimates in the presence of non-linear model dynamics.

The talk will concentrate on a class of SMC algorithms and will look at ways to reduce the cost of the algorithms as a function of the dimension of the   state space. Explicit asymptotic results will clarify the effect of the dimension at the properties of the algorithm and could provide a platform for algorithmic optimisation in high dimensions. Applications will be shown in the context of Data Assimilation, in a problem where the objective is to target the posterior distribution of the initial condition of the Navier-Stokes equation given a Gaussian prior and noisy observations at different instances and locations of the spatial field. The dimension of the signal is in theory infinite-dimensional - in practice 64x64 or more depending on the resolution – thus posing great challenges for the development and efficiency of SMC methods.


Tutti gli interessati sono invitati a partecipare.

Il seminario e' organizzato dalla "de Castro" Statistics Initiative
(http://www.carloalberto.org/stats) in collaborazione con il 
Collegio Carlo Alberto.

Cordiali saluti, 
Matteo Ruggiero

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Matteo Ruggiero
University of Torino and Collegio Carlo Alberto
http://sites.carloalberto.org/ruggiero