BEGIN:VCALENDAR PRODID:-//eluceo/ical//2.0/EN VERSION:2.0 CALSCALE:GREGORIAN BEGIN:VEVENT UID:45052ef97bd1310164ccbd547463c71d DTSTAMP:20260421T202159Z SUMMARY:Nelder Fellow Lecture Series – Prof Pierre Del Moral: Advanced Mo nte Carlo methods DESCRIPTION:This course will cover topics in the general area of Monte Carl o methods and their application domains. The topics include Markov chain M onte Carlo and Sequential Monte Carlo methods\, Genetic algorithms\, Quant um and Diffusion Monte Carlo techniques\, as well as branching and interac ting particle methodologies. The lectures cover discrete and continuous ti me stochastic models\, starting from traditional sampling techniques (perf ect simulation\, Metropolis-Hasting\, and Gibbs-Glauber models) to more re fined methodologies such as self interacting and mean field type Interacti ng Particle Systems methodologies. To name a few\, forward/backward partic le filters\, Ensemble Kalman filers\, interacting Kalman filters\, Sequent ial Monte Carlo\, genealogical tree based samplers\, particle Gibbs and pa rticle Metropolis-Hastings\, interacting Metropolis-Hastings\, multiple-le vel splitting\, and many others.\nThe course offers a pedagogical introduc tion to the theoretical foundations of these advanced stochastic models\, combined with a series of concrete illustrations taken from different appl ication domains. The applications considered in these lectures will range from Bayesian statistical learning (hidden Markov chain\, statistical mach ine learning)\, risk analysis and rare event sampling (mathematical financ e\, and industrial risk assessment)\, operation research (global optimizat ion\, combinatorial counting and ranking)\, advanced signal processing (st ochastic nonlinear filtering and control and data association)\, computati onal and statistical physics (Feynman-Kac formulae on path spaces\, molecu lar dynamics\, Schrodinger’s ground states\, Boltzmann-Gibbs distributio ns\, and free energy computation). Some textbooks which can be useful for supplemental reading are: \n\n Stochastic Processes: From Applications to Theory. P. Del Moral\, & S. Penev Chapman and Hall/CRC (2016).\nMean fiel d simulation for Monte Carlo integration. P. Del Moral. Chapman & Hall/CRC Monographs on Statistics & Applied Probability (2013).\n Feynman-Kac for mulae. Genealogical and interacting particle approximations. P. Del Moral. Springer New York. Series: Probability and Applications (2004).\nBranchin g and Interacting Particle Systems Approximations of Feynman-Kac Formulae. P. Del Moral & L. Miclo (2000). Seminaire de Probabilities\, Lecture Notes in Mathematics.\nFundamentals of Stochastic Filtering. A. Bain and D. Cri san. Springer\, Stochastic Modelling and Applied Probability\, Vol. 60 (20 09).\nInference in Hidden Markov Models. O. Capp_e\, E. Moulines\, and T. Ryden. Springer series in Statistics (2005).\nAn Introduction to Sequentia l Monte Carlo. N. Chopin \, O. Papaspiliopoulos\, Springe Series in Statis tics (2020).\n\nThe lectures will be held as below:\nWed 13 March 1pm-3pm\ nWed 20 March 1pm-3pm\nThu 21 March 10am-12pm\nWed 27 March 1pm-3pm\n\nSho rt bio:\nSince 2007\, Pierre Del Moral is a Research Director (first class since 2011) at INRIA.\nIn 2014-2016\, he was Professor at the School of M athematics and Statistics of the University of New South Wales in Sydney\, Australia.\nIn 2011-2014\, he also joined the Applied Mathematical Center of the Polytechnique School in Paris as a Professor “charge de cours” . After a masters degree in pure mathematics in 1989 in the University Pau l Sabatier in Toulouse in the field of Cohomology\, Dynamical Systems\, Hy perbolic Geometry and Algebraic Geometry\, he joined the LAAS Automation a nd Control Institute of the C.N.R.S. (Centre National de la Recherche Scie ntifique). He obtained a PhD in 1994 in signal processing with one of the first study on stochastic particle methods in nonlinear filtering and opti mal control problems. From 1992 to 1995\, he also served as a lecturer in mathematics at the “Ecole Nationale Superieure de l’Aeronautique et de l’Espace”\, and as a research engineer in the company Steria-Digilog\ , working on particle filters in tracking problems arising in radar and so nar signal processing problems.\nIn 1995\, he joined the C.N.R.S. as a jun ior research fellow in mathematics and physics at the Probability and Stat istical department of the University Paul Sabatier in Toulouse\, and he re ceived in 2002 the higher degree of research (H.D.R.) in Mathematics. In 2 004\, he joined the Lab. J. A. Dieudonne of the University of Nice and Sop hia-Antipolis as a full Professor of Mathematics in the field of Probabili ty and stochastic processes. He has also been a visiting professor in the russian academy of sciences as well as in several international universiti es\, including Beijing\, Cambridge\, Edmonton\, Erlangen\, La Havana\, Hel sinki\, Melbourne\, Montreal\, Moscow\, St Petersbourg\, Sydney\, Tokyo\, Oxford\, Princeton\, Purdue\, and Wuhan University.\nPr. Del Moral is one of the principal designers of the modern and the recently developing theor y on stochastic particle methods in nonlinear filtering\, numerical physic s\, engineering and information theory. He has published over 200 papers i n pure and applied probability journals\, and he is the author of the book s “Mean field simulation for Monte Carlo integration”\, Chapman and Ha ll/CRC Press\, monographs on Stats and Applied Probability (2013)\, and “Feynman-Kac formulae. Genealogical and interacting particle approximati ons”\, Springer New York\, Series: Probability and Applications (2004). His current research interests are : bayesian inference and nonlinear filt ering\, multiple targets tracking problems\, rare event analysis\, calibra tion and uncertainty propagations in numerical codes\, particle absorption models\, Monte Carlo methods\, stochastic algorithms\, branching processe s and interacting particle systems.\n  URL:https://www.imperial.ac.uk/events/175277/nelder-fellow-lecture-series-p rof-pierre-del-moral-2/ DTSTART;TZID=Europe/London:20240320T130000 DTEND;TZID=Europe/London:20240320T140000 LOCATION:tbc\, Huxley Building\, South Kensington Campus\, Imperial College London\, London\, SW7 2AZ\, United Kingdom END:VEVENT BEGIN:VTIMEZONE TZID:Europe/London BEGIN:STANDARD DTSTART:20240320T130000 TZNAME:GMT TZOFFSETTO:+0000 TZOFFSETFROM:+0000 END:STANDARD END:VTIMEZONE END:VCALENDAR