Robust Optimization and Simulation of Complex Stochastic Systems

The program will explore different perspectives on uncertainty quantification, efficient simulation, and the analysis of complex stochastic systems. The topics covered will include exciting recent developments on efficient methods for approximating quasi-stationary distributions, simulation of equilibrium distributions, information divergences in sensitivity analysis of rare events, large deviations methods for efficient importance sampling, accelerated Monte Carlo via nonlinear PDE, and complex probabilistic models including reflected diffusions and high-dimensional dynamics arising in chemistry and physics.

Topics: uncertainty quantification, complex stochastic systems, optimization