ASPI - 2014 - Annual activity report

ASPI

ASPI - 2014

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

Adaptive multilevel splitting
Convergence of a two–step multilevel splitting algorithm for rare event simulation
Simulation–based algorithms for the optimization of sensor deployment
Non–homogeneous Markov switching auto–regressive models for wind time series
Gaussian state–space models for wind speed
Level–dependent time deformation of Gaussian processes
Self–similar prior and wavelet bases for hidden turbulent motion
Estimation of non–linear dynamics under sparse constraints

Bilateral Contracts and Grants with Industry

Bilateral contracts with industry

Partnerships and Cooperations

National Initiatives
International Initiatives

Dissemination

Promoting scientific activities
Teaching, supervision, thesis committees
Participation in workshops, seminars, lectures, etc.
Collective responsibilities

Bibliography

Major publications
Publications of the year
References in notes

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2014 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