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The second workshop on numerical methods for solving the filtering
problem and high order methods for solving parabolic PDEs
Imperial College London
26-28 September 2011
The filtering problem consists in the estimation of
an unknown current state of a dynamical system based on noisy observations. The
solution of the filtering problem is a probability measure process which is the
conditional distribution of the signal given all the information available at
time t, that is given the observation path observed in the interval [0,t].
Under certain assumptions the conditional distribution of the signal satisfies
a semi-linear stochastic partial differential equations of parabolic type. The
aim of the workshop is to explore the recent advances on the numerical methods
for solving the filtering problem and, in general, for solving (stochastic
partial differential equations of parabolic type. The workshop is organized by
Dan Crisan and Terry Lyons and is partially funded by the EPSRC (Grants No. EP/H000550/1 and
EP/H001085/1).
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Confirmed Participants:
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Timetable: Monday 26 September 9.00-9.30 Registration and workshop opening 9.30-10.15 Andrew Stuart Filtering The Navier-Stokes Equation 10.45-11.30 Arnaud Doucet Particle Methods
for Online Parameter Estimation in Non-linear Non-Gaussian
State-space Models 11.30-12.15 Joscha Diehl Robust Filtering:
Correlated Noise and Multidimensional Observation 14.00-14.45 Chris Farmer A Bayesian Smoothing Filter for large-scale data
assimilation and parameter estimation 14.45-15.30 Michael Tretyakov Numerical integration of Heath-Jarrow-Morton model of
interest rates 16.15-17.00 Salvador Ortiz Latorre A new approximation algorithm to solve the
filtering problem combining Cubature and TBBA 18:30-21.00 Reception Tuesday 27 September 9.00-9.45 Josef Teichmann Filtering affine processes 9.45-10.30 Francois Le Gland Marginalization for rare event
simulation in switching diffusions 11.00-11.45 Lajos Gyurko Cubature on Wiener Space
and Multilevel Monte-Carlo 11.45-12.30 Peter Jan van Leeuwen Optimal proposal densities for Particle
filters 14.00-14.45 Chris Rogers Least-action filtering 14.45-15.30 Simon Maskel Using a Probabilistic Hypothesis Density filter to
confirm tracks in a multi-target environment 18.30-21.00 Conference Dinner Wednesday 28 September 9.00-9.45 Ajay Jasra Sequential Monte
Carlo Methods in High Dimensions 9.45-10.30 Alex Beskos Sequential Monte Carlo
methods in High Dimensions II 11.15-12.00 Joaquin Miguez Particle approximations of the
filtering density and its derivates for discrete-time state-space
models 14.00-14.45 Wonjung Lee Application of Cubature on Wiener space to high-dimensional
filtering 14.45-15.30 Syoiti Ninomiya Trials on
extending high order weak approximation algorithms for SDEs 16.00-17.00 Open discussion |
Additional information:
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The workshop will take
place in Room 139, Department
of Mathematics, Huxley Building, Imperial College London, South Kensington Campus.
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All non-local participants will be housed in local hotels.
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Anyone interested
is welcome to attend. However you need to send an e-mail to
Magdalena Myc (m.myc “at” imperial.ac.uk) to confirm your attendance BEFORE 15
September 2011.
Maps and Instructions:
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Getting
to Imperial College.
The simplest way to
get here:
T
Travel to the tube station Gloucester Road (District,
Circle, and Piccadilly Lines). When you exit the station, turn left along
Gloucester Road, crossing Cromwell Road 50 meters from the exit. After
4-5 minutes walk along Gloucester Road, turn right to
Queen's Gate Terrace. This is a short road leading directly to the entrance of
the Huxley Building, at 180 Queen's Gate. Room 139 is on level 1.