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PARTICLE SYSTEMS AND FILTERING
(June 18/19/20, 2001)
Centre Émile Borel, Institut Henri Poincaré (Amphi. Hermitte).
- 11, rue Pierre et Marie Curie -
F-75231 Paris Cedex 05.
Organizers:
René Carmona.,
Operations Research and Financial Engineering, Princeton University
Pierre Del Moral,
Laboratoire de Statistique et Probabilités, CNRS UMR C5583, Paul Sabatier University,
Toulouse III, France.
Jean Jacod,
Laboratoire de Probabilités et Modèles Aléatoires, CNRS UMR 7599,
Universités Pierre et Marie Curie et Denis Diderot, Paris VI, France.
Invited speakers:
Jean Bérard (Université Claude Bernard Lyon1)
Amarjit Budhiraja (University of North Carolina),
N. Fournier (Université de Nancy),
D. Gasbarra (Helsinki University)
Valentine Genon-Catalot (Université de Marne-la-vallée)
Marc Joannides (Université de Grenoble)
Michael A. Kouritzin (University of Alberta),
Francois LeGland (IRISA, Rennes),
Dominic Lee (DSO National Lab. Singapore),
Sylvie Méléard (Université Paris-10),
Christian Musso (ONERA, Chatillon),
Laurent Nicolas (LSP-CNRS, Université de Toulouse-3)
Nadia Oudjane (Université Paris-13),
Gilles Pagès (Université Paris-12)
Philip Protter (Cornell University),
O. Talagrand (Lab. Météorologie dynamique, CNRS),
Tim Zajic (Lockheed Martin USA).
Sponsors:
Laboratoire de Probabilités et Modèles Aléatoires ,
Pierre et Marie Curie University, Paris VI.
Laboratoire de Statistique et Probabilités ,
Paul Sabatier University, Toulouse III.
Operations Research and Financial Engineering, Princeton University.
Accommodation
There are no registration fees and no need to pre-register.
There are many Hotels nearby the Institut Henri Poincaré, for instance
Hotel du Bresil, 10, rue Le Goff,
75005 PARIS, phone: 01 43 54 7611, fax: 01 46 33 45 78
(RER B Luxembourg), see also the
pages jaunes .
Transportation from airport and railway
station to the Centre Émile Borel, Institut Henri Poincaré,
11 rue Pierre et Marie Curie, 75231 Paris
and the Universités Pierre et Marie
Curie et Denis Diderot (Site Chevaleret), 6 rue Clisson
75013 PARIS Métro Chevaleret can be found in the following
web page .
Scope
In recent years there have been highlight new connections between particle
systems and non linear filtering problems. The intent of this workshop
is to bring together
the applied probability and the engineering community to present current
results in the field and to strengthen the potential for communication
and collaboration between researchers.
The range of topics to be discussed includes:
non linear filtering, branching and interacting
particle systems, Monte-Carlo methods,
genetic algorithms, historical and genealogical
processes, Feynman-Kac formulas, measure valued processes,
generalized Boltzman models, Schrodinger
operators,...
Scientific Program
Monday, June 18 :
9h15 : Welcome reception.
10.00-11.00: M. Kouritzin (University of Alberta):
Continuous and discrete space particle filters.
11.15-12.15: C. Musso (ONERA, Chatillon), Subhash Challa (Melbourne
University): Particle Filtering for Extended Target Tracking.
14.00-15.00: S. Méléard (Université Paris-10): Particle
approximations of the Fokker-Planck-Landau equation via colliding
Boltzmann systems.
15.00-16.00: N. Fournier (Université de Nancy): Numerical
resolution of Smoluchowski's equations.
16.30-17.00: J. Bérard (Université Claude Bernard Lyon1):
Genetic algorithms in random media.
17.00-17.30: M. Joannides (Université de Grenoble):
Fitness sharing in particle filters.
Tuesday, June 19 :
9.00-10.00: A. Budhiraja (University of North Carolina):
Infinite Time
Horizon Problems in Nonlinear Filtering.
10.00-11.00: N. Oudjane (Université Paris-13):
Uniform convergence of interacting
particle methods
for nonlinear filtering in case of nonergodic signals.
11.30-12.30: Ph. Protter (Cornell University):
The Longstaff-Schwartz
algorithm for American option pricing works.
14.00-15.00: T. Zajic (Lockheed Martin):
Large deviations for particle systems via a new
Laplace-Varadhan type integral lemma.
15.00-16.00: F. LeGland (IRISA, Rennes). : Particle methods for the
generation of residuals in partially observed dynamical systems.
16.30-17.00: V. Genon-Catalot (Université de Marne-la-vallée ), C. Laredo
(INRA): An explicit non-linear filter.
17.00-17.30: O. Talagrand (Lab. Météorologie dynamique, CNRS):
Filtering for assimilation of meteorological observations and numerical
weather prediction.
Wednesday, June 20 :
9.00-10.00: D. Lee (DSO National Lab. Singapore):
The sequential MCMC filter: Algorithm,
motivations and applications.
10.00-11.00: D. Chauveau (Université de
Marne-la-Vallée) : Interacting Hastings-Metropolis algorithms.
11.30-12.00: L. Nicolas (LSP-CNRS, Université P. Sabatier, Toulouse 3): Strong
propagation of chaos: sharp estimates.
13.30-14.30: R. Carmona (Princeton University) :
Filtering
stochastic systems with particles: an engineer's perspective.
14.30-15.30: G. Pagès (Université Paris-12): A quantization
method for soving non linear problems.
16.00-16.30: D. Gasbarra (Helsinki University) :
Particle filters for
counting process observations.
16.30-17.00: P. Del Moral (LSP-CNRS, Université P. Sabatier,
Toulouse 3):
Particle approximations of Lyapunov exponents connected
to Schrodinger operators and Feynman-Kac semigroups.
Del Moral Pierre,
Last modified: Fri Jun 22 15:57:00 METDST