Thematic Semester on “Monte-Carlo: propagation of uncertainty, particle methods,
stochastic algorithms for Big Data”
Workshop on “Propagation of Uncertainty”
11th December 2015
Venue : IHP (Institut Henri Poincaré), amphi Hermite
8h30 – 9h00 Welcome of the participants
9h00 – 9h40 Olivier le Maître, LIMSI-CNRS
Multiresolution and separated representations for uncertainty quantification
9h40 – 10h20 Guillaume Perrin, CEA / DAM Île-de-France
Statistical inverse problems for non-Gaussian non-stationary stochastic processes defined by a set of realizations
10h20 – 10h50 Coffee break
10h50 – 11h30 Olivier Roustant, Ecole des Mines de Saint-Etienne
Inequality constraints, support analysis and uncertainty quantification.
11h30 – 12h10 Bruno Sudret, ETH Zürich
Sparse polynomial chaos expansions for uncertainty propagation and sensitivity analysis
12h10 – 14h00 Lunch time
14h00 – 14h40 Anthony Nouy, Ecole Centrale Nantes
Low-rank approximations and subspace-based model order reduction
14h40 – 15h20 Bertrand Iooss, EDF R&D
Uncertainty quantification and validation of simulation experiments: Research
topics for industrial risk management in EDF
15h20 – 15h50 Coffee break
15h50 – 16h30 Clémentine Prieur, Université Joseph Fourier Grenoble 1
Goal-oriented error estimation, with application to sensitivity analysis
16h30 – 17h30 Round table
Propagation of uncertainty and model validation in finance and insurance
Confirmed participants: Bertrand Iooss (EDF R&D), Claude Martini (Zeliade
Systems), Anthony Nouy (Ecole Centrale Nantes)
Organisateur
- Labex Louis Bachelier
Lieu
Institut Henri Poincaré 11 rue Pierre et Marie Curie, Paris, 75005 France