Colloquium: Alberto Rosso

We are pleased to announce that next week Alberto Rosso from LPTMS, Université Paris-Saclay, will be giving the final colloquium during the third and last week of the program Probabilistic Sampling for Physics: Finding Needles in a Field of High-Dimensional Haystacks.

Rare events, large deviation and sampling

Alberto Rosso, LPTMS - Université Paris-Saclay, Wednesday 20th September at 15:30 (Small Amphitheatre, Institut Pascal)

In many systems exceptional events can have a crucial impact, while the routine is peaceful and  with no consequences.  Well known examples are the earthquakes in the Earth's lithosphere or the events of extreme weather. Predicting their magnitude or their occurrence rate is a major challenge for human security and economy. Large deviation theory is the branch of probabilities that adresses this issue. In this talk, I introduce the rate function, the central object of the theory, and study it for several dynamical models. A special focus is dedicated to the Monte Carlo approaches able to compute the rate function and designed to sample rare events. In the last part of the talk I will also discuss the issue of rare events in the context of learning. How detect  exceptional rare events from examples that  are almost always non relevant?