ASPI - 2013 - Annual activity report

ASPI

ASPI - 2013

Project-Team Aspi

Members

Overall Objectives

Research Program

Interacting Monte Carlo methods and particle approximation of Feynman–Kac distributions
Statistics of HMM
Multilevel splitting for rare event simulation
Nearest neighbor estimates

Application Domains

Localisation, navigation and tracking
Rare event simulation

New Results

Iterative isotone regression
Mutual nearest neighbors
Adaptive multilevel splitting
Total variation estimates for the TCP process
On the stability of planar randomly switched systems
Marginalization in rare event simulation for switching diffusions
Combining importance sampling and multilevel splitting for rare event simulation
Sequential data assimilation: ensemble Kalman filter vs. particle filter
Non–homogeneous Markov–switching models
Dynamical partitioning of directional ocean wave spectra
Track–before–detect

Bilateral Contracts and Grants with Industry

Bilateral contracts with industry

Partnerships and Cooperations

National initiatives
International initiatives
International research visitors

Dissemination

Scientific animation
Teaching, supervision, thesis committees
Participation in workshops, seminars, lectures, etc.

Bibliography

Major publications
Publications of the year
References in notes

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2013 Project-Team Activity Report

ASPI

Applications of interacting particle systems to statistics

Research centre: Rennes - Bretagne-Atlantique

In partnership with: CNRS, Université Rennes 1, Université Haute Bretagne (Rennes 2)

In collaboration with: Institut de recherche mathématique de Rennes (IRMAR)

Field: Applied Mathematics, Computation and Simulation

Theme: Stochastic approaches

Keywords: Monte Carlo Methods, Markovian Model, Rare Events, Particle Filtering, Tracking, Data Assimilation