Rare event estimation with PDE-based models

Computational Mathematics Seminar 


Abstract: 
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 recent progress on mathematical and computational aspects of this problem: (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 (Cambridge).