Abschätzung von seltenen Ereignissen und Versagenswahrscheinlichkeiten

What it is about

You will learn methods for estimating probabilities of rare events and reliability analysis. After the module you can apply modern simulation and approximation techniques to numerically estimate rare events and update results with observations, as well as implementings e.g. in Python or Matlab.

What you will be able to do

• Generate random samples from arbitrary distributions
• Apply approximations for rare events and reliability problems
• Efficiently estimate probabilities of rare events with sampling methods
• Estimate rare events for many random variables (high dimension)
• Update probabilities of rare events with observations (Bayesian analysis)
• Implement advanced simulation methods in Python or Matlab

What the module consists of

• Vorlesungweekly lectures to convey the theoretical foundations and methods
• Übungsaufgabenhomework to deepen the content, some require software use

Teaching method

• Tafelvortragderivation of theoretical concepts and formulations at an appropriate learning pace
• Präsentationen / Foliengraphic illustration and simplification of complex content
• Hausaufgaben mit Softwareapplying and practicing the methods, examples in Matlab or Python