Events Calendar

AME Department Seminar

Speaker: Prof. Matthew West. Department of Mechanical Science and Engineering. University of Illinois at Urbana-Champaign. Urbana-Champaign, Illinois., Assistant Professor

Talk Title: Variance Reduction for Efficient Stochastic Particle Simulation and Estimation

Abstract: Stochastic particle methods are efficient numerical algorithms for the simulation and estimation of high-dimensional systems, such as population balance models for aerosol suspensions and particle filters for nonlinear filtering. While particle methods avoid the curse of dimensionality that limits grid-based numerical schemes in high dimensions, they can still be very expensive as the number of particles becomes large.
In this talk we present two new variance reduction schemes for particle methods for Markov jump systems. The first variance reduction scheme uses particle weighting functions for a single simulation to enable variable and adaptive resolution in particle space, thereby focusing computational resources on the system components contributing the greatest variance. The second variance reduction scheme couples multiple simulations in an anti-correlated ensemble by extending the classical antithetic and stratified sampling techniques to time-evolution Markov systems. Both of these variance reduction techniques are able to accelerate particle methods for stochastic jump systems by several orders of magnitude.
We apply these new reduced-variance particles methods to simulation and estimation problems in atmospheric aerosol dynamics and chemistry. By using variance reduction, we are able to simulate the largest particle-resolved models to date of ship-plume emissions and polluted urban scenarios, thus giving new insight into aerosol mixing states and their climate and health impacts.


Biography: Matthew West is an Assistant Professor in the Department of Mechanical Science and Engineering at the University of Illinois at Urbana-Champaign. Prior to joining Illinois he was on the faculty of the Department of Aeronautics and Astronautics at Stanford University and the Department of Mathematics at the University of California, Davis. Prof. West holds a Ph.D. in Control and Dynamical Systems from the California Institute of Technology and a B.Sc. in Pure and Applied Mathematics from the University of Western Australia.

Host: Prof. E. Kanso

More Info: http://ame-www.usc.edu/seminars/index.shtml#upcoming

Location: Seaver Science Library (SSL) - 150

Audiences: Everyone Is Invited

Contact: April Mundy

Event Link: http://ame-www.usc.edu/seminars/index.shtml#upcoming