Speaker
Prof.
Georg Stadler
(Courant Institute of Mathematical Sciences, New York University)
Description
Estimation of tail probabilities in systems that involve uncertain
parameters or white noise forcing is important when these unlikely
events have severe consequences. Examples of such events are
hurricanes, energy grid blackouts or failure of engineered
systems. After explaining the challenges of estimating rare event
probabilities, I will make a connection between extreme event
probability estimation and PDE-constrained optimization that is
made precise by large deviation theory. The approach leads to practical methods to estimate small probabilities, and a novel class of challenging, large-scale constrained optimization problems. I will
show examples governed by the shallow water and the Navier Stokes
equations.
