Monte-carlo methods / Workshop

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)