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Dr Thomas A Dean, Signal Processing and Communications Laboratory, CUED
Wednesday 07 October 2009, 14:15-15:15
Rare Event Simulation for Processes with Light Tailed Increments
- đ¤ Speaker: Dr Thomas A Dean, Signal Processing and Communications Laboratory, CUED
- đ Date & Time: Wednesday 07 October 2009, 14:15 - 15:15
- đ Venue: LR4, Engineering, Department of
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Rachel Fogg
Abstract
There is currently much interest in developing Monte Carlo methods for computing small probabilities. I will give a brief outline of some recent developments in the case when the probabilities of interest obey a large deviations rule.
Series This talk is part of the Probabilistic Systems, Information, and Inference Group Seminars series.
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