Working meeting "Equations différentielles stochastiques et Incertitudes" - May, 11th 2015

Organizers: Clémentine Prieur (Université Grenoble 1, Laboratoire Jean Kuntzmann, INRIA/AIRSEA) and Anthony Nouy (Ecole Centrale Nantes, GeM)

It will take place on:

May 11, 2015, at AgroParisTech, 16 rue Claude Bernard, 75005 Paris, amphi Coléou.

Presentation of the workshop This workshop aims to present recent advances and discuss the challenges at the interface between disciplines of uncertainty quantification (UQ), stochastic differential equations (SDEs) and partial differential equations (PDEs). In particular, we will discuss about different approaches for the propagation of uncertainties in models driven by SDEs either relying on a direct solution of SDEs (handling noise and uncertain variables with PC-type methods, Monte-Carlo methods, or hybrid approaches), or on the solution of associated parametrized PDEs (such as Kolmogorov equations). These different approaches raise several practical and theoretical questions, in particular on the analysis of parameter-dependent equations and the conditions for the applicability and efficiency of reduced order methods for high dimensional initial problems (reduced basis, sparse approximation, low-rank methods…). We will also discuss about the opportunities of exploiting SDEs and associated numerical methods for solving UQ problems in other types of models, typically models driven by PDEs or simply black-box models for which only the relation between uncertain input parameters and an output quantity of interest is known, which is the typical situation in engineering practice.

Preliminary Program - abstracts

9:15 : Welcome of the participants

9:45 – 10:00 : Introduction (A. Nouy and C. Prieur)

10:00 - 11:00 : Emmanuel Gobet (Ecole Polytechnique, Palaiseau)

11:00 - 12:00 : Mireille Bossy (INRIA, TOSCA Projet-Team, Sophia Antipolis)

12:00 - 13:30 : Lunch break

13:30 - 14:30 : Olivier Le Maitre (CNRS, LIMSI, Orsay)

14:30 - 14:45 : Break

14:45 - 16:45 : Discussion

Compte Rendu - compte rendu

Registration is free but appreciated. For practical reasons, lunch will not be included for those registering after Monday, May 4 noon.

Liste des participants