Rare event estimation with PDE-based models

Elisabeth Ullmann (TU Munich)

May 06. 2022, 14:00 — 14:45

The estimation of the probability of rare events is an important task in reliability and risk assessment of critical societal systems, for example, groundwater flow and transport, and engineering structures. In this talk we consider rare events that are expressed in terms of a limit state function which depends on the solution of a partial differential equation (PDE).

We present a short overview of rare event estimation techniques with focus on multilevel approaches followed by recent progress on mathematical and computational aspects: (1) the impact of the PDE approximation error on the failure probability estimate, and (2) the use of the Ensemble Kalman Filter for the estimation of failure probabilities.

This is joint work with Fabian Wagner (TUM), Iason Papaioannou (TUM) and Jonas Latz (Heriot-Watt University).

Further Information
ESI Boltzmann Lecture Hall
Associated Event:
Computational Uncertainty Quantification: Mathematical Foundations, Methodology & Data (Thematic Programme)
Clemens Heitzinger (TU Vienna)
Fabio Nobile (EPFL Lausanne)
Robert Scheichl (U Heidelberg)
Christoph Schwab (ETH Zürich)
Sara van de Geer (ETH Zürich)
Karen Willcox (U of Texas, Austin)